- Get EVERYTHING every single enemy drops. EVERYTHING. Fur boots worth 10 coins? Get it. Sell it.
- Use Lydia (your Body Guard as a Thane from Whiterun) as a pack mule. She can carry A LOT OF SHIT. Just ask her to follow you, then talk to her and tell her you have to give her some items. She's free, but you can do that with any "bodyguard" or "companion" NPC.
- Steed Stone is pretty awesome - negates your Heavy Armor weight and gives you an extra 100 points of "carry stuff limit" - I really don't see why would you use any other blessing stones.
- Go (preferably with Lydia) to a dungeon, fill yourself up with junk from enemies, go out, fast travel to Whiterun, sell everything, fast travel back to the dungeon, continue the looting.
- The first skill point in the Speech tree is pretty awesome: 10% extra on every vendor. The second one is pretty awesome too: 15% extra on vendors of the opposite sex.
- I spent most of my early "level up points" in Stamina, because each point in that gives you five extra points in "carrying stuff". With the Steed Stone, i'm up to 475. I usually start "empty" at 166 (I like my potions, extra weapons and ingredients).
I wouldn't recommend you to do the "loot everything, fast travel when full, sell, fast travel back, continue looting" on storyline quests. Do it when you're walking around and found a new place that you want to explore. Do the loot run, fast travel back and forth, finish the dungeon, then continue on your "main quest", whatever that may be. It took me three runs of this one Dwemer (spl?) dungeon to bring everything back with me. I ended up with 100 Dwarven ingots because of it.
Doing those things, I already bought and completely furnished my Whiterun house and I have 18k gold laying around.
Also, be aware that chests and barrels in the open are not kept around forever. After 48 hours (or whatever), the items inside them will reset, and you'll lose everything you kept in them. Only place where lockers are guaranteed are in your home.