One of my favorite things to do in Morrowind was sneak around peoples houses and buildings searching for valuable items to pinch while their owners werent looking, from finding the sword of white woe hidden in a watch tower in Balmora to raiding the treasuries of the 3 great houses and everything inbetween, needless to say I was very dissapointed to how it was handled in Oblivion. While I think I can understand why it was nerfed in Oblivion (lets face it thievery in Morrowind was a tad overpowered as it was very easy to get lots of powerful and valuable items very early in the game) they simply went too far and made theivery pretty much useless with the most valuable items being gained by theivery were little more than moderately expensive plates, what makes things worse is that while you dont gain much from thievery the more valuable items and weapons get handed out like candy by merely fighting bandits once you reach a certain level.
Oblivion had the perfect oportunity to make thievery fun and worthwhile, an oportunity Bethesda squandered. You would overhear people talking about certain things that could have had the potential to offer great rewards for thievery and also offer a great challenge to those who would call themselves thieves such as hearing a rumour about a collector with a large collection Ayleid artifacts or a guard telling another guard about the mithril greaves he has in the barracks however upon acting on such rumours you find out that the collector has nothing and expects you to collect the artifacts for him and that the mithril greaves are a lie.
Hopefully Skyrim will improve in regards to thievery however I would like to hear your opinion in regards to thievery.