The Elder Scrolls IV: Oblivion Tips

Easy sneak and level up at start of game
Before you leave your prison cell at the start of the game, go into sneak mode. Rubber band the left joystick around the L2 button so that it is constantly sending you forward. Run against the front of the cell or the wall next to it. Your sneak will go up because of the prisoner across the hall.

While you're waiting for the sneak to build up, you can jump until the fatigue runs out to get the acrobatic level up. While you wait for the fatigue to recover, use the heal spell to get your restoration level up. After you run out of magic, go back to jumping and so on. All the while you're sneaking and building that level up also.

Before you leave the sewer, make sure you have created a custom character that includes sneak, restoration, and acrobatics as major skills. Then the first time you go to sleep, you will be able to level up many times over immediately.