Depends on what you want to do. I organized some mods that I've tried before, can't say their all lore-friendly, but that's for you to decide.
New Gear:
Antares' Little Mods (Arcimaestro Antares) - especially traps that you can buy, set, and reuse.
Dave's Furniture Store (Dave Humphrey) - Thrift shop has some new thief-relevant gear.
Immersion:
Camonna Tong's Violence (Arcimaestro Antares) - Makes the Balmora Council Club a lot more hostile.
Beware of Pickpockets (Arcimaestro Antares) - They can steal stuff from you, need a high sneak skill to defend.
Give Your Orders (TheLys) - Let's you give orders to people of lower rank, like other thieves.
Rectified Fines (RPGingmaster) - if you don't like the guards taking everything you've ever stolen when you get caught.
Abandoned Flat (GhostWhoWalks) - Adds an interesting home with a serious lock. Lots of interesting training options for a thief.
South Wall Den of Iniquity (Balathustrius) - Better thieves guild in Balmora.
Guildmaster Bonus (Moobler) - some benefits for being in charge of your guild.
Difficulty:
Bounty Hunters (Arcimaestro Antares) - baddies will start tracking you down if you have a bounty of 500 gp or more.
Guard Expander (Caine) - more guards around.
Disarming Traps (samurai?) - makes probes have variable difficulty, usually in line with the lock difficulty.
Gravedigger Bob (????) - Lots of interesting stuff laying about for the taking, until you try to take it from Bob.
*Children of Morrowind (Emma) - weird choice, I know, but those little buggers show up in some really inconvenient places, making thievery more difficult.
Quests/Missions/People:
The Sable Dragon (Pluto) - Adds an inn with a lot of interesting characters, quests that are thief related.
Vvardenfell Druglord (Fliggerty) - Maybe not straight thievery, but contributes to the smuggling/skooma side of things.
Hlaalu Vault Extended (Serenia) and Redoran Vault Extended - More satisfying.
Dungeon & Diamond (Arcimaestro Antares) - Adds a small crypt/dungeon that's best for thieves.
Annastia (patrograd) - Adds a city of thieves, and much more.