Stealth Skills

Acrobatics

Relevant Attribute: Speed
Low Trainers: Ida Vlinorman, Elven Gardens District; Quill-Weave, Anvil
Medium Trainers: Tsrava, Leyawiin (inside J'Bari's House); Ganredhel, Cheydinhal
High Trainer: Aerin, camp east of Azura's Shrine

Acrobatics is something of the ugly stepsister of skills; it doesn't have much in the way of concrete usage in Oblivion, besides the obvious advantages of being able to jump higher and farther than normal. Really, though, jumping isn't all that required in the game, and you're certainly never going to need to attack while jumping around, even if you wanted to.

That said, there's no reason not to increase your Acrobatics skill, especially since it's fairly easy to do so; all you have to do is jump around everywhere you go. Just keep hitting that jump button! This will obviously reduce your fatigue to almost nothing, so it's unwise to do in dungeons or in the wilderness, where you might have to engage in combat, but when you're tooling around in a city, feel free to jump the night away and improve your Acrobatics with minimal effort. (Your Fatigue loss may affect your ability to Persuade, though, so be wary of that.)

Light Armor

Relevant Attribute: Speed
Low Trainers: Olfand, Nord Winds, Bruma; Dul gro-Shug, Elven Gardens District
Medium Trainers: Luciana Galena, Bravil; Ahdarji, Leyawiin
High Trainer: J'Bari, Leyawiin

Your Light Armor skill increases the amount of protection you gain when you wear Fur, Leather, Chainmail, Mithril, Elven, and Glass armor. The only way to increase your Light Armor skill is to get hit by something while wearing it, so this is a skill that will naturally increase as you engage in firefights. Since you'll likely want to get this as high as possible to take advantage of the added defense, this is a good selection as a Major Skill for most thieve or stealthy characters. It'll still go up fairly slowly, but if you want it to increase, you can always let a Mud Crab or Rat hit away at you while using a low-level Restoration skill to restore your health.

Marksman

Relevant Attribute: Agility
Low Trainers: Edla Dark-Heart, Bruma (Regner's house); Shameer, Skingrad
Medium Trainers: Reman Broder, Skingrad; Pinarus Inventius, Anvil
High Trainer: Alawen, campgrounds east of Anvil

Oh, yeah...venison for dinner again.

Marksman is the skill that determines the amount of damage you're capable of dealing with bows. As you increase your skill level here, you'll unlock new abilities to use with your bow, such as the handy zoom mode. The biggest benefit, though, will be the simple addition of damage, so keep using your bows to increase your skill and look for bigger and better bows. Like weapons, bows can come with damage-causing enchantments, or can be given them via Sigil Stones or enchantment altars.

If you're at all decent at Sneaking, then you should always try to approach your target in sneak mode before letting loose your first arrow. Doing so will let you take advantage of the 2x or 3x multiplier that you get from sneaking. Just be sure to stand up when the battle is joined, or you'll fire much more slowly than you would otherwise.

Mercantile

Relevant Attribute: Personality
Low Trainers: Mach-Na, Cheydinhal; Foroch, Gottshaw Inn northwest of Kvatch
Medium Trainers: Seed-Neeus, Northern Goods & Trade in Chorrol; Margarte, Leyawiin
High Trainer: Palonirya, Divine Elegance shop in Imperial Market District

The Mercantile ability affects the price that you get from vendors when you attempt to either sell to or buy from them. The higher your Mercantile score, the better the prices that you'll be able to negotiate.

In order to increase your Mercantile score, you'll have to use the Haggle mechanic while in the shopkeeper interface. When you haggle, you'll be able to continually attempt to rachet up your selling price for items sold to the merchant. Each time you sell an item at above market price, you'll gain a small amount to your Mercantile score. It's possible to attempt to sell an item for too much cash, though, in which case the merchant will reject your offer and become slightly less favorable to your future offers.

The thing you want to do here is grab a huge stack of something cheap of disposable and attempt to sell them one by one. Arrows are perfect for this, since you'll often find a bunch of them in dungeon crawls, and they don't weigh very much. When you have a large amount of them, find a merchant and start selling them one by one, increasing your haggling percentage by two or three points after each sale. When they reject your first offer, knock your percentage down by two points and start selling selling selling!

Each time you sell an individual item, your Mercantile skill will gain a small increase. Thus, the best way to get big increases in your Mercantile skill are to get huge amounts of arrows and sell them one by one. (Selling them as one stack counts as one transaction for Mercantilism's purposes.) It's laborious, sure, but it works. Since iron arrows are dirt cheap, you can sell a huge stack of them, buy them back, then repeat the process as often as you like to increase your Mercantile score.