Yeah, you will "learn" your skills faster if you are Well Rested, don't know if just Rested also counts for that or just has a lower bonus. [Edit: Mookie to the rescue!] So whatever you do successfully in the period during which the bonus applies (so many hours after you get up, I guess) advances you a little more quickly to the next level in the corresponding skill.
I never slept much in my previous character after I leveled up a lot, but I'm doing it now, generally because so many of my quests involve sneaking around at night and once I'm done bartering and crafting and making contact with any NPCs I need or want to talk to, there's nothing much to do but sleep the rest of the day away.
One nice thing about being awake and active at night, is that I can finish a job and then get to the nearest city with all my stuff before the open crafting stations are busy (smithies are closed for business, etc.) and do any work before I have to dodge shoppers and merchants or compete with artisans for their workspaces.
Also, funny follower moment of the day: went to RatsI'mBald or whatever that Dwemer ruin is to fulfill some DB contract paid for by a conned and jilted ex-lover of one of the dudes hanging out there. Chamber where he's at is also full of other bandits and the like, including one boss bandit chief in Steel Plate (gawd I hate those guys). He was actually the second one in that ruin, too. Must've been having a convention. I nail the primary target whilst hiding on the ledge above with one arrow and they do not take kindly to it AT ALL.
Anyway I've got some space left in the ol' rucksack for extra loot and we aren't too far from Windhelm where I can sell it all off, so I figure WTH and get a second fatal hit with another arrow on one of the lesser hostiles but the rest come running and I have to switch to shield and 1H. And at one point I had to run down the stairs to get away from the bandit chief long enough to not die while I guzzled some health potions for a second round of melee. I jump down the last bit which gives me a bit of an edge, and by the time I turn around Marcurio has recovered from being downed temporarily, killed the rest of the bandits, and unleashed a devastating attack on the chief to the point where all I have to do is bash him once with the shield and smack him upside the helmet with my Elven Mace of How Does It Feel To Be Set On Fire, Not So Good, Huh? and he's down for the count.
To make a long story short way after the possibility of that has up and disappeared like the Deep Ones, it got pretty hairy but the forces of righteousness - well, okay, not so much that as your friendly neighborhood thief and assassin - eventually triumphed through a clever combination of skill, effort, and desperate flight from the field of battle while somebody else did the heavy lifting.
About the time I realize Bandit Chief Burnt To A Crisp is finally dead, I look up to see the Magigolo standing there and he just says, all cool like,
"You know, the Dwemer were well known for their use of ingenious traps. I'd be careful walking around in here."
Or something to that effect, I can't remember the exact words. But I lolled because after all of that he's just giving me a lecture on Dwemer technology and its associated perils all cool as a cucumber.
Edit: oh and I just bought the "services" of the cute widdle war doggie from the Markarth Stables so I'm off to investigate "friendly fire" mods to keep him from eating Marcurio the first time we encounter Forsworn on the way home. I'm curious to see if this guy lasts longer than the strays I've picked up, their lifespan with me can usually be counted off in New York Minutes.