I read that if you pickpocket items from bandits they are considered stolen items...
I don't really remember, but I guess they should, since you actually stole them. There's nothing like pickpocketing the weapon off the bandit you're about to fight

isnt the chance of sucsess based off of value not weight? wierd, but you should still try for worthless things untill you level up some
It's based on both value and weight. That's why gold is the best - it's light, but its value will contribute to a decent raise of the skills. You might also try to pickpocket lockpicks and jewellery.
I don't know how you feel about exploits, but there's a couple of ideas you might try. For example, paying a Pickpocket trainer and then stealing your money back or reverse-pickpocketing with the Poisoned perk.