During my many exploits in Oblivion my favourite character was a Bosmer thief. I loved breaking into peoples homes and stealing anything and everything. I loved the fact there was an air of mystery around the Thieves Guild. The first time I played Oblivion I wasn't actually sure the Guild even really existed (due to the loading screens). After the first time I was arrested for stealing in the Imperial City, it was about three game days later I was handed a mysterious note. I loved all the cloak and dagger stuff, I empathised with the Guild and believed in their code of practice. There was honour among thieves.
I know the Thieves Guild is different in Skyrim and I'm not complaining. I'm just pointing out the fact I personally find it hard to steal in Skyrim. I feel like I could be a thief and still be a good person but I Skyrim I feel like more of a thug and a brute, rather than a noble crusader.