Well, first off you can get back to the ship- there's a cave that gets you right back. That whole 'I don't know if I can come back up after I've gone down' thing is just... wrong.
Apart from that... it's been a while, and I can't really remember that well, but I think I used to level against the sand worm things on the beaches... I can't remember how good they were. If not, I think the area around that village that sunk into the lifestream might be quite good...
There are probably better places, but I'm afraid it's been a while since I played it, so you'll have to make do with what I remember. I don't tend to train much anyway.