Athletics skill is rewarded for completing the Honey Gathering quest in the Goblin Tower building. There is an NPC on the second floor that gives you a quest to bring her 10 Honey. Honey can rarely drop from Hornets or it can be purchased from the Goblin Merchant sometimes. Alternatively, opening chests has a small chance to drop any of the Manuals that award skills once read. You can also learn the Athletics skill from the Fighter NPC if you enslave him and give him as a slave to one of the Goblin Households.