In addition to being an entertaining diversion and a money-maker, the Arena is great because it helps you increase your skills much faster than wandering around. Arena battles often last a few minutes, so there's plenty of opportunity to heal, conjure allies, blast lighting, block, slash your sword and augment your armor skills. Just be sure to save your game before declaring yourself ready to fight, or you may find yourself reloading a file from a few hours back if your opponent outclasses you.