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It was in this setting that my skill raised the fastest, and I would often gain a level or two in Sneak within a single dungeon. On the other hand, I would spend a lot of time in ancestral tombs behind the patrolling ghosts and skeletons, whether to set up a nice backstab or in an attempt to sneak by entirely because I wasn't well-prepared for combat. Plus the merchant-class NPCs that you have the most reason to sneak around often have Sneak as one of their class skills, which makes them better at detecting sneaky characters as well. I found it leveling up a lot more in dungeons than in towns, since there's just so many NPCs wandering around in the civilized world that staying out of sight of all of them for any extended period of time was rare and challenging if you aren't explicitly grinding it in some tricky spot. You've already been given great advice in the other comments, so I'll just provide an anecdote: I recently played a Bosmer with a specialization in stealth and my Sneak skill ended up being my first skill to reach 100 despite not ever training it once.
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