Actually, it's easy to level up magic skills in Morrowind, because you don't need any enemies to do that, unlike in Oblivion. Of course, skills in Oblivion generally improve faster than in Morrowind, but if we are talking about the system itself, I prefer Oblivion's one. In Morrowind all you needed for the purpose of becoming a master of Destruction magic was a bed and an easy spell. Hit the wall with fireballs repeatedly until you have 0 Magicka, rest, repeat. In Oblivion I've had to actually use the spells on enemies. That's the direction I want Bethesda to follow in future games. Either learn by practice or
pay for training.
However, there are numerous ways of improving the system. Regarding weapon skills, I think the rate at which they improve should be based on the level of the enemy you are facing. The higher the "negative" gap (it comes into play when your level is higher than the enemy's), the lower the gain. For the "positive" gap it should be the opposite. That way hitting a rat would improve your Longblade skill less than hitting an ogre and on high level hitting a rat wouldn't improve your skill at all. Moreover, the improvement rate should be modified by damage dealt, too, so hitting for 3 damage would count less than hitting for 30 damage. It's only fair and logical. Currently, from levelling perspective, you gain more by having lower Strength and faster, low-damage weapon, because it allows you to hit your enemy more times, which equals higher skill gain rate. It makes no sense. With proposed adjustments things would become more balanced and realistic.
Regarding magic skills, I think the improvement rate should be based on magicka cost, which should also be compared to your skill level. That way casting weak spells would improve your skill quickly when you have 5 Destruction skill level, but if you have e.g. 75, then casting weak fireballs wouldn't improve your skill at all. Spell failure should be reintroduced to add some spice.
There is always the problem with "passive" skills that can be levelled easily by gamey actions, such as "running" into a wall constantly. I'm sure that it's possible to find good solutions there, too. A common method of improving sneak skill in Oblivion was sneaking constantly by facing a wall near a beggar etc. It makes no sense. Firstly, I think that it shouldn't be possible to "run" into a wall and our character should stop instantly. Secondly, I think that sneak skill should only improve when you are sneaking on hostile actors and by "hostile" I mean actors that would either tell you to leave their house (trespassing) or attack you (bandits etc.). Thirdly, I think that the rate at which you gain sneak skill should be dependant on the actor's sneak level compared to your sneak level - simple relativity. Therefore, sneaking on a guy who has 15 Sneak skill level would improve your skill quickly if you have 10 Sneak skill level, but not if you have 60 etc.
When it comes to athletics and acrobatics, it's only logical to level them up by... running and jumping. However, if we anolyse those skills closely, it's easy to see that they are in fact much more. The first one is used for combat manoeuvring and combat endurance (lower stamina loss when running) and since Oblivion the second one can be used for dodging (that's the concept I would like to see expanded in the next game). Therefore, while both should improve by performing corresponding actions outside of combat, the rate should be slow. When in combat, however, it should be much higher and be dependant on the difference between your level and enemy's level. Therefore, your athletics skill should be improving quickly when you are running from a high-level enemy or manoeuvring in battle (sidestepping etc.), while your acrobatics skill could be improved by dodging enemy attacks. Because of relativity, such things wouldn't work when fighting with a rat as a high-level character.