It's interesting how in this game what one player finds easy to level (skill wise) another player finds impossible. Smithing for me was never a problem on my last character. I had maxed the level out by the time I was about level thirty (although I didn't take every single perk as my char was a heavy armor class). By level 32 I was swimming in riches because Dragons kept attacking nearly every I ventured into; the bones and scales were so abundant that I could have practically ran my own business in crafting and selling Dragon armors.
I never bought any ore (too expensive in early stages and the payout was more or less half of what I paid in). Instead, I hit the mines (always minding to travel with a bare minimum inventory so I didn't get over-encumbered) everywhere. One of my favourites was Kolskegger...my god, SO much gold ore. There's also a few smithys who leave their ingots outside ripe for plucking with no theft penalty.
Anyway, instead of gradually building the skill up, instead, I would dump all the ore into a chest at Breezehome in Whiterun (conveniently next to the Smithy!) and wait until I had a really good abundance of ore, ingots, leathers, etc, then would just drag everything to Warmaidens and run through it all in a few mins. My smithing level went through the roof very quickly (selling the crap off was a different matter, alot of waiting, etc). It was actually the first skill my character maxed out, and this was without a stone to boost the skill gain.
As for the skills I find hard levelling, I'd have to say Pickpocket is one of them. I've tried the 'cheat' of saving game before making the pickpocket attempt, then reloading if I don't quite succeed but it got tedious and boring (I was seeing more loading screen time than game!). 4/5 attempts usually end up in me getting caught and having to reload - I suck as a pickpocket.
Speechcraft is also a fairly boring and tedious skill to level as you can't really track it unless you go to your skill menu (for example, you're talking to NPCs but there isn't an indication bar of the speech skill going up bit by bit the same way you see it going up with alchemy, or smithing, etc). It's also quite tedious on a console selling off stacked items seperately (especially if you've just made a bunch of potions for example, and you have up to 30 in one stack).
Sneak is easy to max if you want to cheat and auto-walk backwards in sneak mode in the room with the kid performing the black sacriment for example. If you're a PS3 user, a hair tie around the left stick and the handle of the control pad works fine to do this (the kid won't notice you and won't catch you as long as you never try to talk to him; after you've spoken to him and taken his contract, he'll go about living, and noticing you again, etc).