I covered this a bit in an earlier post, but I've found a good way to train it. When you go to Bravil, you'll hear rumors about a ghost called the Forlorn Watchman. Asking about it triggers the quest The Forlorn Watchman. When you go out to Bawnwatch camp to wait for him, sneak behind him when he walks away from the camp. He won't see you, and you'll only have a few critters to whack on the way to his next destination. He'll go just past Fort Irony and stand to look out over the bay. Speak to him to trigger the next part of the quest. There's a tree nearby him with a rock next to it that makes a nice place to sneak in place, just back into it so you can see when he disappears, and then sneak until he does. Then sneak over to Fort Irony. If there's an enemy down there, sneak onto the ledge above them and then just continue to sneak to your heart's content. You'll level it in no time, especially if it's a major skill. Just be sure to walk-sneak and not run-sneak, since the enemy might hear you and seek you out.
Another good place to train it up at is on the Bloated Float during An Unexpected Voyage. Once you kill Lynch (the first bandit you encounter), you find out that Graman-gro-Marad (the Orc bouncer) is locked in the closet at the other end of the deck you're on. Lynch has the key so just loot him and then go over close to the closet and start auto-sneaking (whichever key makes them auto-move) into a corner. You can do this as long as you like and level it up. I like to get to at least 50 as quickly as possible since that will let me sneak in any boots without penalty. Before lvl 50, the weight of your boots had an effect on being discovered. If you're really patient, take it up to lvl 75, where you can run-sneak without penalty. I like to do An Unexpected Voyage early on because it gets me a full set of leather armor (minus shield/helmet, but I'll already have a leather shield) with a Blackwater cuirass, which is better than a normal leather cuirass. And since I rarely have a character use heavy armor it's perfect to use for females if I want to skip the chainmail stage of the game (chainmail for females leaves her arms exposed and I just don't like that from a RPing perspective.).
So why would I even pay for a night on the Bloated Float when I can use the abandoned shack nearby, or just take over the Marie Elena? Well, from a RPing perspective, and if I'm playing female, she wouldn't want to share a shack with two males (two males live in the shack). And, say, it's the first and cheapest place she runs across to get a night's sleep at since she also wouldn't want to sleep in the open on one of the beggar's bedrolls on the docks either. For a male, well, he just feels like having a drink and then decides to spend the night when he has a few too many ;). Yeah, he'd have enough gold by then from selling the stuff he got from escaping the sewers. And you know guys, they'd want to celebrate their freedom.
I even took off my fortify sneak boots I made and put on another pair so I could see when it was getting to Expert. (Yeah, I was already at around 65 sneak when the ghost disappeared).
You can probably do stuff like this during dungeon-crawling if you're patient. Sneak around enemies for awhile, then kill them and move on.