With each level you get points, points that you use to increase your marksman, blade or lockpick skill.
In other games, I would not mind, but it is too far from the way TES handles things - "learn by doing" and whatnot. I kinda like that aspect of the series.
Also, if you have a low lockpick skill, you can't try picking harder locks. And if you're more experienced in marksman you'd get a bonus to range, accuracy, speed and optionally damage.
That much, certainly. Although the lockpick thing is handled realistically enough by the idea of having lockpicks breaking repeatedly in your hands - they just have to take that thing from Oblivion and push it to the point there's no succeeding eventually (which there was) if your skill is too low and the lock too high.
Oh, and here's one too, you know those NPCs in oblivion that you can learn some skills from? Instead of just increasing the skill, I think they should reward you (if you complete the training) with a perk (since I heard there's gonna be Fallout 3-like perks in the game), a perk that increases your range or speed (marksman), or making your blocking with a shield stronger (block), or increase your damage and what not.
I don't mind them handing you perks - "hey, you're really good, I'm going to teach a trick I know". Why not ? It's better than waking up and just knowing how to do it : mastering unusual aspects a discipline rarely occurs just by figuring it out after lots of training.
Still, trainers should train. Much more so, even : I would like something more believable than a mere I-buy-training-and-voilà-my-popup. Using dummies and targets (they'd have to improve them), completing tasks, something a bit more fleshed out.