I'm maxing all the skills that reveal extra play options like speechcraft, sneak, and pickpocket (lockpick doesn't need maxing as you can open master at any level but it is increasing steadily regardless). I also steal every key I see.
Also you get some downright interesting insights when you bribe people you wouldn't think would normally accept a bribe (like the priestess at the start of the hangover quest). Goes to depth of gameplay and how well they thought out various characters.
I like being able to explore more of the game. And speech lets me do that.
The nice thing is that if you just spend time dungeon-diving or otherwise hunting animals for pelts and NPCs for loot, then sell off as much as you can, your speechcraft will level up fairly quickly, on top of making plenty of cash.
Lockpick doesn't need maxing, but as your skill improves, your picks are less likely to break as quickly so that you have more chance per pick to find the sweet spot and pick the lock. I'm surprised they didn't use the level requirement system from Fallout, though, where you had to have a minimum level to pick locks of the corresponding level. It's basically Fallout's interface with Oblivion's set up.
If you like dungeon-diving a lot and finding chests of loot, though, lockpick is a good thing to level so you can get the treasure hunter perk, that's what I'm after.