One of the things I've been working on more lately is more consistent skill training, so I thought I'd write up a bit about how to train up skills and how difficult they are. The general rule is that you can gain at most three percentage points every day, and the day rolls over at about 8:00 AM. Skills with more stars next to them will be easier to train up, depending on your stats and the stats that help with that skill.
Craft & Lore skills
Agriculture - Train up through planting seeds. Affects the yields of grown plants. Difficult to deliberately skill train.
Building - Train up through building things. Affects the speed of building. Difficult to deliberately skill train.
Cookery - Train through cooking more difficult recipes. Roasting meat won't do much, more complex recipes are more likely to train. Somewhat useful; will affect the trade value of cooked food.
Herblore - Keep unknown plants, mushrooms, and berries in your inventory and use herblore on them every hour or so. Trains pretty rapidly with a few items to train with. Useful for identifying edible and medicinal plants.
Fishing - Train through fishing with a tool, pole, or nets. Difficult to deliberately skill train, but net fishing is probably most effective.
Hideworking - Training with small game is most effective, since they tan faster and each hide gives you the same number of possible skill ups regardless of side. Very useful for getting higher quality clothing and cords.
Timbercraft - Training with board making is most effective. Not hugely useful, but affects the speed of timberwork and quality of boards.
Physician - Train by treating minor injuries. Climbing trees is a reasonable way to get minor but not threatening injuries. Frostbites from running naked in the winter work OK too. Can now treat animals and companions as well, which might be a less dangerous way to train it.
Trapping - Can be trained by resetting traps repeatedly. Very useful for those who want to trap; increases the chance of game entering the trap.
Tracking - Train by following a game trail and repeatedly using the tracking skill to check the direction of the tracks. Quite useful for active hunting.
Weatherlore - I have literally never seen this skill increase, and I use it every morning.
Carpentry - Train by making crafted goods like shortbows or paddles. Difficult to train, but quite useful for higher quality items.
Physical skills
Skiing - Just ski. During the winter I ski around checking trap lines to train this. Quite useful for winter travel.
Stealth - Walk around in stealth mode. Seems to train faster when there are animals nearby. Useful for active hunting and combat.
Climbing - Climbing fences or small cliffs trains this safely and quickly. Useful at very high skills for climbing trees safely for better views.
Swimming - Swim along the shoreline in the summer. Trains fairly quickly. Not commonly used, but can save your life in some situations.
Combat skills
Difficult to train up safely. Throwing or shooting weapons will train, but often takes hundreds of throws to get a skillup. Dodge, unarmed, and shield are very difficult to train.
Any other suggestions? I generally spend time on actively training herblore, skiing, stealth, climbing, club, trapping, and tracking.