I didn't get into too much independent thievery, to be honest - I mostly followed the thieves' guild questline.
I don't think any TES games are especially good at simulating the kind of classic fantasy thief experience. Morrowind may be one of the worst, actually, since NPCs don't have schedules. So you can't wait until a shop is closed or try to break in when the shopkeeper is out - the shops *never* close, and the people who are inside that shop will always be inside that shop.
The stealth system in MW also seems somewhat hit-or-miss to me. Of the 3 most recent TES games, Skyrim probably has the best implementation of the Sneak skill, since so many factors are involved in determining whether your sneak attempt is successful.
That said, I haven't really tried to make a living as a pure thief in MW. But if I wanted to, I might choose a city like Balmora or Vivec: lots of places to rob.