I really enjoy the game, much more so than Oblivion, but there is one thing that annoys the crap out of me: Pickpocket, or rather the lack of a normal failure mode thereof. I know it has been like that at least since Morrowind, but as it is now, every failure is a critical failure. You don't get the item and your target detects you resulting in combat and bounty. I think there really should be a normal failure: you don't get the item and get booted out of the Pickpocket-menu, but you stay undetected.
As it is now, failing at Pickpocket actually has no consequence...either you succeed, or you reload...
I agree. There is no real way to increase the skill without reload spamming if you don't want dead NPCs and hundreds of gold coins in bounties.
That said, I really like how the skill works otherwise. The different percentage chances for success depending on weight, size, and value are all very good, and I like how the more valuable the item is that you're pickpocketing the more it increases the skill. Though I did get insane leveling from using pickpocket. I activated the Thief sign stone, had bracers that increased pickpocket chance by 20%, and then spent a single in-game night robbing Whiterun's sleeping NPCs. My Pickpocket skill went from 16 to 54 in less than half an hour. Of course, the more I did it, the easier it got. I pickpocketed a magical amulet and my Pickpocket skill increased by 5 (!!!) points all at once. Thankfully it appears the level scaling is fixed in Skyrim, so the fast gaining of 3-4 levels hasn't hurt me.