Don't use fast travel...basically. Ride around, find caves and forts and temples....go in and wreck havoc, get money and gear...sell said money and gear. Also, figure out how to play the persuasion mini-game and boost how much merchants like you (and how much they'll give you for stuff) and practice skilling up your Merchantile skill.
In the process of cave delving, you'll also level fairly reguarly. I also made a lot of money working for the Dark Brotherhood and in the Arena. The fact that the quests are always geared towards your level makes it nice.
Oh, and chances are by running through caves you'll get your own gear and avoid having to pay for it in the first place.
Oh oh! Join the Mages and Fighter's guilds...if you're a member you're allowed access to their stuff, so you can rob them blind and it won't count as stealing.
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"But there's no sense crying over every mistake,
You just keep on trying till you run out of cake"