In The Elder Scrolls V: Skyrim for the PC, PS3, and Xbox 360, you can join the Thieves Guild to do quests for them and climb the ranks of the master thieves of Skyrim.
To join the Thieves Guild, go to Riften and find a man named Brynjolf in the town square near the stores during the day. Brynjolf will offer you a quest, and once you complete it he will ask you to meet him at the Ragged Flagon pub beneath Riften. Talking to him there starts the “Taking Care of Business” quest, and once you complete that quest you will be an official member of the Thieves Guild.