Foreword

For those who watch my let's plays and livestreams, you'll know that we're all about role-playing and not at all about min-maxing. This series is not about the ultimate [insert class] build, let's face it, sooner or later your character will be a god-killer whether you min-max or not. In addition we tend to always want to play the same way, with the same style, the same weapons, the same game play. So instead, I want to suggest ways to play a class and mods that can make the experience fresh and more unique. For more general role-playing mod recommendations, you can check this guide.

Skills, Race, and Birthsign

You can live up to the stereotypes and be Khajiit: both attributes and skill buffs align almost perfectly with the feline race. Bosmer do well, of course, especially if you intend to weaken your enemies with a bow before.
A warning though, a Bosmer Thief will see their Agility increase very rapidly (Marsksman, Light Armor, and Sneak) at the expense of other attributes (Strength and Endurance are famously crucial for hit points). I find the Khajiit with blades, or even claws more balanced as Speed will also improve rapidly.
I recommend the excellent Khajiit Diversity Revamped by Westly to give your feline thief a more unique look.
You want to follow the stereotypes with different races, Westly's got you covered: Westly Presents: Halflings.
Another good option, especially for a hybrid thief (bow-dagger and a bit of mysticism to get around quick) is the Dunmer: sure, sneaking will be harder at first, your starting Agility will be lower, but it will improve quickly. I'd pick the male for the higher endurance (which translates as +5 starting health).
Gee, what to do for the birthsign? I like the Thief, because, well, it fits. The Lady if you intent to be a charming, lovable thief. The Mage to make a better hybrid thief and have a larger magicka pool. The Steed if you are squishy (low hp) and want to make a quick get away. I personally don't like the Shadow, or the invisibility spell: it lets me walk unnoticed but not DO anything unnoticed.

Gameplay

For obvious reasons, playing a thief and rogue will have similarities. Please refer to my Rogue Guide for crime and punishment related mods.

Sneak and Security

• Security Enhanced by OperatorJack, a nifty mod with in-game configuration to quickly equip lock and probes, or even equip them automatically. My pick.
• Handy Equipping by Fliggerty, an older mod that lets you select a hot key to equip probes, lockpicks, torches, and lanterns.
• MWSE 2.1 Pursuit Revisited by Sveng. This mods does A LOT of things, especially for the thief: make the guards more alert (they will go through doors to arrest you) and use your lockpick to LOCK doors.
• Thief Experience Overhaul 1.3 by LDones. A complete overhaul of the security (lockpick and disarm trap) and stealth skills. Makes lockpicking harder, makes traps deadlier and harder to disarm, nerfs Open spell (so only a true thief can open a 100 lock), make sneaking more successful in the dark or bad weather. The mod is modular.
• The Lighting Mod - Modular Only use the sneak related esp. Makes sneaking harder or easier based on light, time, and weather. Fairly heavily scripted.
• TESIII Sneaking Realism: a different approach with this one. Wearing armor and having your weapon drawn will reduce your ability to successfully sneak until you are more skilled with sneaking. Once you become more proficient with sneaking the debuff is nullified; or in some instances, you will receive a bonus to your sneak skill.
• Light Based Sneaking by Vanhikes & Qwert. Simple, the more light, the harder to sneak. Good news, some light can be turned off.
• More traps by Abot. A thief's heaven: every time you activate a door or a container for the first time, there is a chance it is locked, trapped, or both.
• Skill-based trapped detection by AdituV. What it says on the tin. Don't forget to enable "Traps hidden" in Morrowind Code Patch.
• Speaking of which... Morrowind Code Patch, specifically: toggle sneak, pickpocket overhaul, allow stealing from K.O'ed NPCs, hidden traps, hidden locks.
  

Crimes

Again, see the Rogue Guide for mods dealing with smuggling, pirating, and more violent crimes specifically. For thievery-related crimes, read on!

• Plunder the Dungeon by Gavrilo93: Tel Fyr's dungeon is a great challenge for the thief.
• Nighttime Door Locks by LDones, where NPCs lock their doors at night ... won't stop a good thief, right?
• Balmora Redecorated by Lucevar, because breaking into a house or a shop that is empty makes no sense.
• Thieves Guild Fences (dealers) by Melchior Dahrk: these fences won't even blink when you sell them illegal and stolen items.
• Impersonating an Officer by hurrdurrmurrgurr, if your thief appreciates irony (and doesn't want to risk their hide mobbing people)
• Thief's Disguise Kit by Max.
• traders300: more to steal from traders.

Quests

• The Corpse and the Skooma Pipe Overhaul by Gavrilo93. Multiple outcomes for this quest.
• Strike at the Camonna Tong by ProfArmitage: expands on the Larrius Varro quest to get rid of the Camonna Tong.
• Thief companion Constance by Emma and Grumpy. You don't have to be a thief to enjoy Constance's company, but the more the merrier, right?
• With this in mind: Karenna1.0 by UlfGeir adds a companion thief that becomes your apprentice.
• Thieves Guild in Gnaar Mok by Gavrilo93. More Thieves Guild quests, in Gnaar Mok ;)
• Thieves Guild Regained Trust by ProfArmitage. Let's you join the Thieves Guild again after certain quests.
• Havish1.3 by JOG, a large quest mod, lots to do for a thief! Install this patch by Tyraa Rane too.
• In the same vein Haldenshore also by JOG.
• Thief Quests by kkleven: Sugar-Lips Habasi and Bacola Closcius at South Wall Cornerclub will give you 2 unique quests.
• Dungeon and Diamond by Arcimaestro Antares. The classic thief's challenge: find a unique diamond in a dungeon full of traps. Fun!
• Smooth Moves - Romancing Ahnassi by Curmudgeon. This mod is definitely a perk of joining the Thieves Guild. Get the girl and the house.
• South Wall, Den of Iniquity by Balathustrius. The South Wall is now a place worthy of the Thieves Guild, with quests too!
• Carelessly Crazy Caldera Community by Team Suran Suran (Gavrilo93, RubberMan and Caeris) adds 21 quests, including 3 or 4 for the Thieves Guild.

A place to stay

• Balmora Slum House by Lucevar. Might not look like much but will store all your ill-begotten loot.
• Thief Hideout in Balmora by Auric. A cosy, low-key hidden place for the thief.
• ThievesGuildhouseFinalVersion by Edgewook Dirk. Gain access to a new area once you become Master Thief.
• Ahnassi House - Refurbished by Tizzo, if you want the house but not the romance. Comes with a handy ingredient sorter and desorter.
  

Other

• I never play without Arcimaestro Antares' BigMod but if you only want features relevant to the Thieves Guild, Master Thief's Privileges is for you: train your fellow guildsmen, promote and reward them, target an NPC and hire a thief to steal from them.
• Blackjack mod by 9of9 for those who have played Thief and want to knock out NPCs rather than kill them.
• Black Glass Armor Set by Kalian, for the rich thief that want the best armour and still look the part.
• Westly's Nightsong Armor Pick the black version.
• Also from Westly, the obvious Creed of the Assassin outfit.
• Thieves' Guild Stash by Danjb: adds several "Thieves' Guild Stash" chests, similar to the Fighters' Guild Equipment Chests and Mages' Guild Supply Chests, next to some of the higher-ranking thieves.
• The Seedy Plates by Von Django. Makes the Eight Plates in Balmora more atmospheric.
• Lucky Lockup Additions by Midgetalien adds fun things to do and drink in the Lucky Lockup.
• Want to dual-wield daggers? You can, kinda, Assassin's Armory has all kinds of off-hand weapons set as shields.

The end!

While technically we have not covered the Spellsword, Warrior and Witchhunter classes, I feel that those guides would be a short list of links to some other guides.
I am keeping those articles updated, adding new mods as they are published.
I sincerely hope you've enjoyed reading these guides as much as I've enjoyed writing them!

If you want more ideas for random handicaps and goals, check this blog entry with wheels to click, you can find my permadeath modlist (and all the others, actually) here and if you'd like to see many new characters created, join us on Twitch every Sunday for our permadeath runs ;)

Happy Morrowinding!