I started my Thiefing back in the day, with a demo of "Thief: The Dark Project". I tried it a dozen times, I never 'liked' it. In fact it infuriated me. But then, I actually started to pay attention, and once through the training mission I fell in love with Baffords Mansion and the intrigue. Since then I've never looked back. It only slows you down when you're fleeing from guards screaming "Taffer!" in your direction.
Thief3 is, therefore, something of a leap. Thief1+2 were both firmly entrenched in FPSville, and the limitations (and advances) of the game engine. Thief3 goes more towards console gameplay and Splinter Cell. Unfortunately it neither truly achieves a satisfying result despite its good intentions.
You'll get more out of the game if you play it as an FPS (rather than 3rd Person). As an FPS you feel more immersed, rather than simply watching your 'character' move around. It also makes you consider your positioning with regards to shadows, walls, and doorways, you'll find yourself craning your neck to look around corners, utilising the lean buttons and similar. In 3rd Person this immersion is lost as you already have a somewhat superior angle of view (and with the 360 rotation you can achieve the impossible of walking in one direction whilst looking in another with the 'camera'). I made the mistake of playing the game as an FPS and not 'liking' it (the head wobble, the slowness of movement etc) after having played Splinter Cell. So I tried playing it in the 3rdP. I managed 2 chapters and lost interest.
2 years later, in FPS, I'm back into the game, back into the mood and enjoying every second. No it isn't as rounded or fun as the originals, and I don't think you have the same bunny hopping, object stacking, frobbing, and box jamming, freedom as you find in the truly fantastic Thief+Thief2 - but it makes up for it in other ways.
I just miss the mechanical edge of Thief2, and water....oo oo and Taffers! And Bear Pits! Yeah, yeah, I'm going to the Bear Pits tomorrow! And upside down mansions! If you wonder what I mean by the above, get your hands on Thief1 and Thief2.