I believe all these people complaining how thieves were useless in Oblivion just haven't tried hard enough.
I've played as a very successful thief stealing mainly silverware and jewelry (you know, what Burglars usually look for...) sometimes even books. You know, if you only look for valuables on the dinner table, you won't find much...
Compare to Fallout 3, or New Vegas, where you can Steal some of the best weapons in the game. For example, the Trail Carbine in Ranger Andy's bungalow. The Lever Action Shotgun in Boulder City.
Stealing a handful of rings and a book, isn't enticing to a thief, when you can just go kill a Marauder and get a full set of Daedric with much less effort.
Apparently, you haven't gone to the store in Oblivion...^^
They are worth something when buying them, you do have to pay for them, but they are not worth anything when selling them, which makes perfect sense, as most traders wouldn't even bother to buy a pitcher if they already sell them.
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How did they get the first pitcher in the first place anyway? I don't see a kiln in any Pawnbroker shop in Oblivion.
Silverware and jewelry weren't worth enough if you ask me. At the same time, though, one thing I always hated about Oblivion was that there wasn't very much to spend your money on. If you make items worth more then you get more neat stuff to buy with your loot cash, but you also get more when you steal these things. It's a zero-sum game.
Then again you could raise the price for everything in the game, but just set it up so that fences pay significantly less than value.
Again, we can look at New Vegas, more so than any Bethesda Developed game, as an example of "Doing it Right". The Economy, for the most part, in New Vegas, was pretty well balanced. You had reason to Horde your caps early in the game, since you could walk into the Brotherhood of Steel armory, and purchase a Riot Shotgun, or .45-70 Lever action at any level (I've seen them both as low as Lv.3).
Stolen items themselves, shouldn't be tagged unless it's witnessed. While you should never be able to sell a stolen item back to the Original owner, if you're a good thief, and manage to swipe some goods without getting caught, there's no reason that you shouldn't be able to sell the item, at worst, in a different county/hold.
Of course, if you get caught stealing, the infamous "Red Hand" approach can be taken, and that's when the fences can be used.
New Vegas's Economy had one thing working in it's favor though, Ammunition. No Elder Scrolls game really has such an omnipresent consumable built into the core of the game, the way as the Fallout Titles. The only way I see an Economy in Skyrim being balanced, is if Weapons and Armor become much more costly to maintain (IE, no more 10 gold hammers)