Where can you train skills in oblivion?

Answer 1

You can train your skills anywhere, just by using them.

If you're wanting to train your combat skills the best thing I can think of is just go on a massive dungeon crawl across the game's world.

Your athletics and acrobatics will train themselves over time, athletics will increase faster from swimming than running, however.

Sneaking can be trained easily, some simple(kind of cheating I guess) ways could be to crouch and walk against the wall behind the barman in the Merchants Inn in the Imperial City, maybe put something on the controller to keep you running forward.

Otherwise it'll increase over time with just normal sneaking.

Use your creativity and logic to figure out the ways to increase your separate skills :)