A fun thing to do is, during the tutorial mission, when you're supposed to snipe the bear, keep ducking, sneak behind the tutorial character, and attack him. Any method you want, magic, knives, swords, whatever.
Sneak skyrockets like fuck, and whatever you're attacking with launches up, too. Just don't move too much or the bear will get upset. I was level 17, uber thief by the time I left that cave.