I think my favorite thing about Zidane as a thief is that he actually has an ability that allows him to see what items an enemy is carrying. This to me was sorta one of those hindsight things where I'm like "Why the hell didn't we do this before?" I also liked that IX allowed you to go for all items instead of the traditional bull that you get one shot at the item selection and if you get the common item that was it...

Locke is a great thief too but much like Zidane, he's far from a traditional thief and most of his unique equipment (Valiant Knife anyone?) really set him apart from the normal thief class.

Ninjas on the other hand I feel is a class that ebbs and flows in quality as the series goes along. Awesome in III, terrible in IV (except for the DS version), okay in V, pretty awesome again in VI (High evasion and a built in counterattack that usually does 3x more damage than his base attack? Sign me up), mediocre in VII until you get Conformer, and generally broken in the Tactics series...