What are the consequences of my choice between the two NPCs at the start?

In the beginning, stuff goes down and you must choose one of two NPCs. What are the differences between them in terms of how my choice-of-whom-I-pick will affect me?

I can grind Sneaking and One-handed on Ralof. Can this also be done on Hadvar?

Roleplay/story factors aside, the main gameplay differences between the two are the gear you'll get access to during the Unbound quest, and the amenities and items you'll get in Riverwood.

If you plan to wear Heavy Armor and use One-handed Weapons, Ralof's a good choice - but if you plan to start levelling Smithing and/or use a Two-Handed Weapon, Hadvar may be preferable. You'll likely pick up a level or two in your chosen skill(s) before you get out of that cave under Helgen.

Really, though, anything you pick up at this early stage is highly likely to be replaced once you start exploring properly - particularly if your questing takes you to the nearby Bleak Falls Barrow - and neither choice affects later quests in any major way, so don't lose any sleep over the decision.

If you follow Ralof:

• You will have the opportunity to take and wear Heavy Armor early on (taken from the first pair of Imperials you battle after getting your bindings removed,) but it will be a little longer until you get easy access to a Two-Handed Weapon.

• You will be directed towards, and become friendly with, Gerdur, Ralof's sister in Riverwood, providing you with a house in which to sleep and free access to some limited loot.

• You will be able to name-drop Ralof when encountering Ulfric Stormcloak in Windhelm (although this has no major effect on the dialogue or outcome thereof.)

• If you accompany Ralof to Riverwood, you'll recieve the miscellaneous quest to Join the Stormcloaks on your way out of the cave.

• During the Jagged Crown quest:

if you've sided with the Stormcloaks and meet Ralof, he'll respond to you positively. (If you didn't follow him at the start, he'll respond in a more neutral manner. Neither affects the outcome of the quest, and for the remainder of the quests in this chain, his responses aren't affected by your actions in Helgen.)

If you follow Hadvar:

• You will have the opportunity to take and wield a two-handed weapon early on (taken from the first pair of Stormcloaks you battle after getting your bindings removed,) but it will be a little longer until you get access to Heavy Armor.

• You will become friendly with Alvor, Hadvar's uncle and the Riverwood blacksmith, providing you with free access to some limited loot and some Iron Ingots by the Anvil outside Hadvar's house.

• You will be able to name-drop Hadvar when encountering General Tullius in Solitude (although this has no major effect on the dialogue or outcome thereof.)

• If you accompany Hadvar to Riverwood, you'll recieve the miscellaneous quest to Join the Imperials on your way out of the cave.

• During the Jagged Crown quest:

  if you've sided with the Imperials and meet Hadvar, he'll respond to you positively (if you didn't follow him at the start, he'll respond in a more neutral manner. Neither affects the outcome of the quest, and for the remainder of the quests in this chain, his responses aren't affected by your actions in Helgen.)

Source: UESP, adventuring!

The only differences are the route you take out of Helgen and the encounters there (side with Hadvar and you'll fight Stormcloaks, side with Ralof and you'll fight Imperials).

There are also slightly different rewards if you choose to follow them to Riverwood. Hadvar's uncle Alvor will give you free materials if you went with him whereas Ralof's sister Gerdur will let you stay at their house.

Both can be used for levelling- they're both invincible and never turn hostile.

Neither choice affects the Civil War Questline or any other quests.

It's also worth noting that neither Ralof nor the Stormcloaks tried to cut your head off. Just food for thought there...