In Oblivion I’d sleep to level up, but that’s no longer necessary.
Is there any benefit to sleeping in Skyrim? Will my character get tired?
According to this wiki:
Sleeping is the process of resting in a bed, sleeping bag/roll, pile of hay to fully restore your health, magicka, and stamina. In addition, sleeping in a good bed gives a temporary bonus to magicka and health. Beds in player-owned houses provide better bonuses than other beds. If you sleep long enough in any bed, you will receive the “Well Rested” bonus which increases the speed of skill mastery by 10% for the next 8 hours. If you sleep near to your spouse (same building/cell), upon waking you will receive a “Lover’s Comfort” bonus which increases speed of skill mastery by 15% for 8 hours. This effect can be duplicated by The Lover Stone which confers this bonus for as long as the stone is the player’s active symbol.
Also keep in mind that, as alluded to by ryanzec’s answer, there is at least one quest that requires you to sleep in a bed to initiate it, so even werewolves have a reason to sleep at least once (after killing Grelod the Kind and receiving the courier message from the Dark Brotherhood).