Rogue - Well a rogue is typically a playful type character that has charm and wit. In game they often fight one handed or in Skyrim can duel wield. Tend to be light armored swordsman and may or may not be a thief.
Thief - It is what it says. They basically steal stuff and game term wise aren't the best at up close combat.
Beggar - begs for money from surrounding folk.
Assassin - Kills for money.
So they are different with the most difficult comparison being between thief and rogue.
What she said, and Rogue's often will not even have any Sneak or Pickpocket skill as a Thief would. They are more like Highwayman, Duelists, and 'Bank Robbers'. Basically, those guys that come up to you on the road and demand money or they will kill you are really Rogue's, however, to add to your confusion Beth misnamed them 'Thief' even though there used to be Rogue preset characters and npcs in former games that used the same behavior...
Burglars tend to be more acrobatic and able to scale walls, pick locks, of course. They are also sometimes called 'Second Story' thieves. Not much use for second story skills in this game though.
Thieves and beggars generally never kill because they don't usually need to to get the objects they want and because dead bodies makes what they do more difficult. Rogues are more willing to kill to get what they desire though, and an assassin, that's what assasins do they kill for money.
To give you the meaning without talking what build would they be in Skyrim
A thief is someone who is stealing things. A burglar is a term for thieves who break into people's homes.
Rogue can definitely not be a good guy lol, I've never seen the word used in English in a good way. However rogue is a very relative title and won't always be used for the same kind of criminal. Basically rogue is usually a a lot more harmless version of typical crazy blood-thirsty criminal. He may rob your ass on the road but he may let you live, for example, although he'll likely kill you if you try to resist, some won't even that but may or may not beat you up to teach you a lesson. In some instances in fantasy literature a rogue may be a murderer but generally people tend to look at rogues as ordinary scoundrels, not really full-on murderers. Sometimes a rogue is not a murderer at all as people above say.
The same term is used for a member of a group or a pack that has unexpectedly separated from them and is often not following the behaviour pattern that the group normally follows. For example when a lion would separate from his pack and would hunt and live on his own he'd be refered to as a rogue lion.
Assassin is someone who is mudering people for his living.
Beggar is someone who begs, usually for your change (money).
Hope I got it all right.
A burglar is basicaly the same as a theif. Anyone know the difference between Burglar and Theif?