My sneaky thief character is interesting, but difficult
I have about 50 sneak, 40 archery, 50 lockpicking, and 75 pickpocketing (man, that's easy to level). I did the main quest up to Whiterun, then went to Riften to do the Thieves Guild quests. And so far I'm finding the enemies very difficult; my character level is like 18-19, which is probably why, but unless I one-shot an enemy with my bow, they usually run right to me, preventing me from getting any more sneak attacks. If more than one enemy attacks, I need to spam health potions to not die.
I guess the only real way to play like this is to cheese your way to 100 sneak and basically pretend to be invisible? It kinda seems like an all-or-nothing route, though. I might powerlevel either smithing or sneak though because as it is I need to reload all the time. Or maybe you're not supposed to fight enemies on the thief quests? I know you can avoid most of them...
Pro-tip: Delphine at the Riverwood Inn has an Orcish bow. VERY low chance to pickpocket it, but if you do it's probably the best bow you'll find for like 10 levels unless you take up smithing right away.