Unless you like the vanilla constraints on stealth and thieving, I highly recommend the following mods
Lockpick Mold (5 septims to make your own lockpicks using the lockpick mold)
Thieve's Arsenal (totally expands on the stealth and thieving aspect of the game)
Thievery in the Imperial City (adds a IC merchant Derrien Venoit who will buy stolen goods, and also some quests he will give)
Stealth Overhaul (adds penalties for stealth in non-light armor, and enhances the benefits of stealth a bit)
Lightweight Potions.esp (all self-made potions weigh 0.2)
Thievery_Normal_Thrill.esp (alters the probabilities to find sweet random loot in upper/middle class homes/castles)
RenGuardOverhaul.esp (takes away guards psychic abilities, many features! including a "corpse carry" that I use a lot)
kuerteeClothingMatters.esp (NPCs like you better if you dress more or less like them)
Denock Arrows.esp (absolutely critical for an archery based character)
Duke Patricks - Actors Can Miss Now.esp (absolutely critical for a stealth/speed/evasion character)
Let There Be Darkness - Cyrodiil + SI.esp
Let There Be Darkness - Knights.esp
Let There Be Darkness - Mehrunes Razor.esp (makes Cyrodil a much darker place; there are lots of different dark mods, this is just the one I stuck with)
DropLitTorchOBSE.esp (goes great with the above)
Skillbased Thieves Guild Invitation_HARD.esp (when you reach a certain level of thieving ability you'll get invited)
TuStartingOptions_01.esp
TuStartingOptions_02.esp
TuStartingOptions_03.esp (allows a bunch of different startup options, including starting in ownership of the Waterfront shack; so annoying to have to spend 5 hours of play time and one or two levels just accumulating enough cash to buy that dump)
I have not really made any use of them yet, but a couple other useful stealth/thievery mods
Window Entrances (goes well with Thieve's Arsenal supposedly; sadly doesn't cover all cities, but many)
DLC Vile Lair (still haven't checked it out)
Thieves Den (not sure if that is a DLC or mod or what it is)
My total list of mods FYI
Spoiler Oblivion.esm
Jog_X_Mod.esm
Oscuro's_Oblivion_Overhaul.esm
Mart's Monster Mod.esm
Mart's Monster Mod for OOO.esm
Unofficial Oblivion Patch.esp
DLCShiveringIsles.esp
Enhanced Economy.esp
Map Marker Overhaul.esp
Map Marker Overhaul - SI additions.esp
DLCVileLair.esp
DLCVileLair - Unofficial Patch.esp
DLCSpellTomes.esp
DLCSpellTomes - Unofficial Patch.esp
MaleBodyReplacerV3.esp
TFF_FantasyFigures_Base.esp
LockpickMold.esp
Thieves Arsenal.esp
kuerteeHorseCommands.esp
Oscuro's_Oblivion_Overhaul.esp
OOO-Water_Weeds.esp
Mart's Monster Mod for OOO.esp
Mart's Monster Mod - Shivering Isles.esp
Mart's Monster Mod - Additional Enemy NPC Vars.esp
Mart's Monster Mod - Hunting & Crafting.esp
Mart's Monster Mod - Looting NPCs & Creatures.esp
Mart's Monster Mod - Durability & Damage.esp
Mart's Monster Mod - Less Bone Loot.esp
Mart's Monster Mod - Less Rats.esp
Mart's Monster Mod for OOO - LessReaversInGates.esp
Mart's Monster Mod - Safer Roads.esp
Mart's Monster Mod - No Wyvern.esp
Mart's Monster Mod - No Pests.esp
Mart's Monster Mod - No Beholdens.esp
Mart's Monster Mod - No Uberhulks.esp
Mart's Monster Mod - No Skeep.esp
Mart's Monster Mod - No Balrogs.esp
Mart's Monster Mod - Spawn Rates - Reduced.esp
Mart's Monster Mod - Safer Quest Locations.esp
Mart's Monster Mod - Dungeons of MMM.esp
Mart's Monster Mod - More Wilderness Life No Gates.esp
Mart's Monster Mod - More Passive Wildlife.esp
Mart's Monster Mod - Extra Wounding.esp
Mart's Monster Mod - Friendlier Factions OOO.esp
Mart's Monster Mod - Farm Animals.esp
Mart's Monster Mod - Diverse WaterLife.esp
Mart's Monster Mod - Slof Horses Complete.esp
OOO-WaterFish.esp
EiAmod.esp
GlenvarCastle.esp
Region Revive - Lake Rumare.esp
thievery.esp
Window Entrances 1.0.esp
DLCFrostcrag.esp
DLCFrostcrag - Unofficial Patch.esp
Knights.esp
Knights - Unofficial Patch.esp
Mart's Monster Mod for OOO - Knights .esp
AFK_Weye.esp
Rumare-AFK_Weye Patch.esp
BrewHouse.esp
Feldscar.esp
Vergayun.esp
Faregyl.esp
Harvest [Flora].esp
Harvest [Flora] - Shivering Isles.esp
Harvest [Flora] - DLCVileLair.esp
Harvest [Flora] - DLCFrostcrag.esp
Bag of Holding.esp
DropLitTorchOBSE.esp
P1DkeyChain.esp
SetsunaDummyTraining.esp
Toggleable Quantity Prompt.esp
ATakesAll.esp
Unlimited Rings 1.0.esp
Unlimited Amulets 1.0.esp
Unlimited Amulets - Shivering Isles.esp
Unlimited Amulets and Rings - Shivering Isles.esp
Unlimited Rings - Shivering Isles.esp
kuerteeAlternativesToDeathAndReload.esp
Tyler's Hungry, Thirsty, Sleepy, Tired.esp
AudaciousMagery.esp
Lightweight Potions.esp
StealthOverhaul.esp
Thievery_Normal_Thrill.esp
RenGuardOverhaul.esp
kuerteeClothingMatters.esp
Denock Arrows.esp
Duke Patricks - Actors Can Miss Now.esp
RealisticLeveling.esp
Let There Be Darkness - Cyrodiil + SI.esp
Let There Be Darkness - Knights.esp
Let There Be Darkness - Mehrunes Razor.esp
Arena betting.esp
Mart's Monster Mod - Resized Races.esp
OOO-Respawn_Week.esp
Useful Houses.esp
Molapi.esp
Skillbased Thieves Guild Invitation_HARD.esp
kuerteeSimpleVampirism.esp
Quest Log Manager.esp
TuStartingOptions_01.esp
TuStartingOptions_02.esp
TuStartingOptions_03.esp
Enhanced Hotkeys.esp
ADDIT: now that I think about it, another one I recommend which is in the full list is
Realistic Leveling. If you've played vanilla at all, and have experienced the leveling problem, then I'd suggest it is time to move on past that and experience how great the game is when you don't have to worry about the levelling problem. Instead of having to do bizarre things like use non-Majors to raise attributes and avoid levelling too fast, RL makes playing a stock class much more fun I think.
Works very good with one of the overhaul mods that redoes the leveling dynamic in the game completely, e.g., OOO . . . but now I'm basically suggesting you go out and install 20 mods, so I'll shut up