Found what seems to be a bit of an exploit in terms of enabling you to level up pickpocketing quickly.
You need to have done the thieves guild. Just pick pocket guards and if you're caught, pay them off and say you're from the guild. Then as they walk away, pick pocket all the money you gave them back plus whatever they had. You'll be pick pocketing around 500 so you get a lot more experience than if you just stole a couple of septims. You can only do this to an individual guard once, as the second time the option to bribe them off as a member of the guild is not given (This probably comes back in time). Just do it to each of the guards in a city then move to another. Easy.