A few quick Sneak levels
Okay at the beginning of the game when you are in your cell approach the door so that the elf over the way starts to talk to you. Then quickly run to the back of your cell and enter sneak mode and just keep walking back and forth until the emperor and The Blades arrive. You should get your sneak skill up 5 or 6 levels this way which although it is not a huge amount it is helpful in the following area especially if you are planning to play a stealthy character.
Hope this helps
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