Basically, which game do you have the most fun playing as a thief?

For me it's Final Fantasy IX. You can steal an upgraded dagger before the opening credits are done rolling and I think that sets the stage pretty well. So many boss fights afterwards have unique items or at least items that are an upgrade compared to your current inventory, and it feels great to equip a stolen item and start learning its skill earlier than you would have had you got it from a shop.