At the start in Helgen's Keep, you will encounter a sleeping bear. Your guide says that you can either sneak past it or kill it. Just off to the left of where your guide stops is a small rock pile. Go to the back side of it, and you can sneak in the crevice there and stay hidden from the bear. Continue sneaking at the rock and your skill will increase. You can do this for as desired, because the bear only moves if it detects you. To make sure you are in a good location, sneak for a short time, then check your Sneak skill to see if it is rising. If not, move slightly closer to the bear and keep trying.