EDIT: Okay, I just noticed you had alarms listed as part of the gallery, but maybe my ideas would help expand on the security system.

Perhaps some of the artwork and valuables in the gallery and particularly wealthy homes can be booby trapped? There could be a pressure sensitive switch that detects when an item has been removed from it's proper perch and will alert guards or fling spells at the thief in question. The spells could be things that paralyze you and keep you from getting away while the guards rush to capture you.
I will look into that, thanks.
You could make it so that you first have to find a well hidden switch that disables the aforementioned traps, making it much more difficult to steal the loot and adding some need for tactical thought in order to pull off the heist.
The alarm systems in the Gallery are controlled in the Control Room. Btw, the Gallery is massive, it contains:
Public Areas:The Villages Display
The Dragon Display
The Ayleid Display
The Royal Jewels Display
The Egyptian Display
The Aquarium
The Creature Display
The Oblivion Display
The Farm Display
The Undead Display
The Hall of Masterpieces
Hall of Paintings
The Atrium
The Pottery Display
Odds and Ends Gift Shoppe
Rose's Gifts
Cosy Cafe (need another name)
Public Toilets
Non Public Areas:Staff Offices
Storage Rooms
Maintenance Rooms
Security Rooms
Curator's Office
Curator's Apartment
A huge secret area
The areas of greatest interest to thieves will be of course the Royal Jewels Display, unfortunattely someone else got there first and the Septim Crown has vanished! But that aside there are a few ways to rob the Gallery:
*Storm in there and take just take the goods. Suicide and literally cannot be done.
*Ask around, just be careful there are people out there selling false information to wannabe thieves like you.
*Stumble onto the right track. If you are the sort that hangs out in the 'wrong' sort of places you may meet someone in the know who has a 'proposition' for you. Just again be careful who you trust. On a side note and only a little related, say the wrong thing, get close to the wrong person and you could be dead. A lot is dependant on dialogue.
*Break into the Curator's apartment and office (good luck) to find clues that will help you piece together an idea of the guards and alarm systems. This one requires some serious stake out work and a good plan....or you are dead and believe me there is nothing a Pell's Gatean likes better then a good hanging of a would be Gallery thief and they will tell you as much.
The thing about having guards everywhere is firstly, most Pell's Gate guards are corrupt and secondly FPS, it simply isn't feasible to have guards down every dark alley. It does make a difference however to have all NPC interiors set to 'off limits' as that raises the stakes, you will be attacked if discovered in someone's home, not politely told to leave.
I have played Thief 2 and 3 and there is much inspiration from those. In fact I am looking at how I can use the concept of a 'Thieves Highway' in Pell's Gate. There are secret alleys already but they are connected to the infamous Elm St, however I want a thief specific area, even just a few hidden 'safe' areas or passways.
Oh and lastly, meet the Mayor of Pell's Gate and his lovely wife....
http://i110.photobucket.com/albums/n99/Shezrie/mayor2.jpg
Like previous Mayors he is intent on 'cleaning' up Pell's Gate. I say good luck to him, quite frankly they can't even keep a good hangman, the last dozen have turned up dead within a week, usually through 'accidents'..
Thanks for all the input everyone.