Well, I thought a baseball fan would correct me since a player could go to a batting cage and practice batting. I should have written something like basketball was the sport most easily practiced by yourself, since all you need is a hoop and the rock. Don't need stakes, don't need ice, don't need a full court.
I once read a great story about former Toronto Maple Leaf and Quebec Nordique Wendel Clark, who grew up in the small town of Kelvington, Saskatchewan. He was a scrappy, aggressive player -- so typical of the other NHL players who came from Kelvington (Barry Melrose and Joey Kocur among them), but what really set him apart was that he had a devastating wrist shot and some great offensive skills.
He attributed this to his early teenage years, when he figured out a way to sneak into the local rink in the middle of the night, and would spend hours firing hockey pucks at the net in the dark. To challenge himself (with no goalie in the net), he would practice shooting the puck into the net off the bottom of the crossbar and the inside of the posts.