Ok, since we're laying our nerd cards out on the table...
LIGHT SPOILER (IMHO)
I've trained my khajit thief in sneaking (with another khajit outside the first city) and archery (with the elf in the first little town - sorry, I forget the names). The great thing about training a thief is that you can pickpocket back the money you just spent! So I'd train 2-4 levels' worth of the skill, stop, immediately pickpocket back the money, and train again. And because I used the thief class blessing stone, my pickpocket skill increases relatively rapidly. Between the skill being taught and the pickpocketing practice, my character level also increases fairly fast a the same time, so that I can actually use the 5 skill trainings per character level basically non-stop. So, by doing this training alone, I went from character level ~5 to ~20, and increased my archery and sneaking to 50, and pickpocketing to 100. All without spending a dime! So, so cool.
It'll be a little harder to do at higher levels because the character level doesn't advance as fast. But at least I won't have to pay for all of that!
I love thieves.