The Inn of Ill Omen is located Northwest of Bravil along the road. In the basement of it is a guy named Rufio. As long as you are reasonably quiet he will sleep forever allowing you to sneak around the room increasing the skill easily. Just put your guy facing a corner and rig the stick to keep walking and you gain a new level roughly every minute (early on). Note that if you killed Rufio as part of the Dark Brotherhood's quest, you won't be able to use this exploit.