One of the most neglected and overlooked aspects of the game is the graveyard. They are all over the place and every province has at least a few. They're short, they don't have many critters, the critters aren't terribly tough and they don't have much loot. Most graveyards only have a couple or three rooms, a couple of critters and one or two treasure piles. Because of this, they don't appeal to the hard-core adventurer. But it's these "drawbacks" which make them such great training grounds. The sequence essentially runs: enter, do what you have to do, get back out and repeat until you've developed whichever skills you're working on. The following skills can be easily developed in graveyards:

Dodging: just find a friendly rat and let him swing at you for a while
Pickpocket: no guards to get upset about it. CAUTION: the guards will come running if you try to pickpocket OUTSIDE in the graveyard itself. They will leave you alone while you're in the crypt.
Stealth: each time you come close to a critter your Stealth skill is checked
Climbing: you think those hedges are just for decoration?
Weapons/Critical Strike: except for the occasional imp, there is nothing in a graveyard that needs a special material to hit. If you can find a graveyard with Thieves, they'll have enough hit points to stand there so you can get in a few swings. Remember, though, that weapons made of special materials have bonuses to hit and damage. If you use cheesy weapons (Iron or Steel), you'll get in more swings, which will cause the skill to develop faster.
Lockpicking: there are a couple of graveyard layouts which have a secret door that is always locked

The greatest part of graveyards is that they're so short. With only a couple of critters to keep track of, it's a fairly simple matter to keep track of how many times you have done something. When you hit the number of attempts necessary for a skill advancement, exit and rest for 6 hours. The exit is always close at hand and there's usually a temple pretty close (in case you picked up a disease from the rats). The graveyard (like a regular dungeon) resets each time you leave it, so you can spend as much time as you want working on the skills that you want. The only major caution is to be ready for random wilderness encounters if you decide to rest in the graveyard.

Treasure piles in graveyards are nothing to get excited about. You'll always find a few GP's and usually a few ingredients. But you can also find potions, magic items, weapons, armor and miscellaneous stuff. Don't hold your breath about being able to complete that suit of Daedric armor, but if you go in enough times, you can make a decent haul off of a single graveyard.