I like this idea very much, that there could be multiple ways to complete any given quest, not just "evil" or "good" but as you described, you could steal the item or kill the person... it would even be cool if in some cases you could "fake" having completed your task (lie) and the NPC would believe you were telling the truth in some instances. In each circumstance, something different could take place as a result. With Radiant Story, hopefully Bethesda will do a lot with this, if not, at least I'm sure the groundwork will be there for people with lots of smarts and time to make systems where this is possible. Also, as far as morally ambiguous goes, sticking your nose into other people's business may end you in various situations where there really isn't a "good" or "evil" choice, but you must act and people's dispositoin toward you will change as a result in different ways.
Imagine, poor Igna tells you her husband Sorkvild is being threatened and strong-armed by Honthjolf Stone-heart. She will give you a precious heirloom in return for you keeping her husband safe from this man, and hints at you needing to kill to accomplish this.
1. You can confront Honthjolf and get him angry enough to challenge you in a duel and then kill him. -- Igna is forced to give you the heirloom but seems very unhappy for some reason, and later turns up dead, murdered by Honthjolf's brother Vled, who figures out via overhearing the dialogue spoken just before the duel that she must have asked you to kill Honthjolf, and Vled then informs you of the truth and attacks you on sight if not caught by the guards first for Igna's murder.
2, You can just murder Honthjolf outright. -- Igna reports you to the guards and runs from you, not giving you the heirloom after all, and Igna and Vled attack you on sight from then on if you elude prison time for your crime. No one involved will speak to you anymore about it and you never learn more about the mystery.
3. You can talk to Sorkvild and find out that Honthjolf is extorting him, but learn in this conversation that Sorkvild isn't actually Igna's man, Honthjolf is, but Igna lied to you to kill him because she seemingly wants her no-good thug of a man gotten rid of (but has sudden remorse for going through with it if you accomplish the task). You can then give Sorkvild the money or pay Honthjolf on Sorkvild's behalf. If you give Sorkvlid the money, he tries to skip town but is waylaid by Honthjolf and slain. If you try to pay Honthjolf on Sorkvlid's behalf, Honthjolf challenges you to a duel, but the dialogue is different in that duel, and Vled never finds out about Igna's plot, leaving you with Igna giving you the heirloom and no consequences other than in her sadness, Igna takes her own life.
4. You can sneak into Honthjolf's place and discover for yourself via some clue that Igna is Honthjolf's woman, and find evidence that Honthjolf is extorting Sorkvlid. You can then either use this information in the same way as in option 3, or you you can go to the guards with this evidence, and the guards will arrest Honthjolf, Igna gives you the heirloom, and Vled and Igna both are happy Honthjolf is not dead, but no longer being a thug and ruining their lives.
Maybe I'm not the best writer in the world, but If all quests had this general level of options, then you'd have a real "shades of gray" type of world.
This is really quite beautiful, actually. I especially like that there is no way to know which strategy would work best just from the beginning.