I just finished the LockPick's Story in the game through a single player playthrough. I enjoyed it, but one thing i think could have made single player a more enjoyable experience is if they developed a method to let you switch between characters mid mission. This could have added to the sense of strategy where one character is good at casing the joint, another's good with extracting money from crowded places, and yet another can just rearrange the pathways. The feeling of finding the best man (or lady) for the job to see a plan all come together would have fixed, i believe, a lot of issues with the single player's sense of "lacking" by comparison to the multiplayer.
As the game is now, if you want to switch to a new character mid mission, you just have to get the character you are playing killed and then you can pick from the remaining characters.
The weird thing is, you can call in other characters, without dying, if you have multiple controllers. (i'm playing on the PC with a 360 controller). The game features "jump in" Co-op, so at any time, when you see a job better suited for another character, you can just find a hiding spot and play the other character on a separate controller. This, to me, creates a more interesting single player experience but it's a cumbersome workaround that should just let you use a single controller.