I started as a thief and I've been enjoying it immensely. I'm sl30 and inside sens fortress, so I can give a few tips for anyone thinking about starting a thief. Keep in mind these only apply if you actually intend to play as a thief, ie: dexterity based, fast weapons, light armor.
As a thief you rely heavily on backstabs and parries. You start with the bandit's knife, which has the highest critical of any weapon I've seen so far and is excellent early on. You'll need to learn the positioning of backstabs, the timing of parries, and what enemies you can actually execute these moves on. Some enemies, particularly bosses & mini-bosses cannot be parried or backstabbed. Eventually you'll want to pick up a dexterity-based sword like a scimitar (available from the first vender in the parish) or an estoc (also available early on). Otherwise you'll have to use normal attacks with the bandit's knife against any enemy which cant be backstabbed, and that's just tedious.
Getting a bow and a few arrows as early as possible is a great idea. Bows scale with your dex, but I mainly use it to pull individuals from a group. As a thief you're much more effective against a single enemy than you are 3 or more. 2 is easily manageable because you are invincible during the backstab and parry animations.
As far as stat distribution goes, your main attributes are dex, endurance and vitality. Personally I only take as much endurance as I need to have enough equip load for a full set of equipment(main weapon, bow, shield, talisman, and a full set of light armor). A single point in faith early on can be worth it to get the heal miracle, which can be very useful.
Dual wielding seems like a fun idea, right? Well unless you're a salty old demons souls veteran or a total crazy man, forget it. You are gonna want that shield, because when you have light armor it's the only thing between you and a swift death sometimes.
Theres a few more do's and dont's but you'll figure those out on your own as you get used to the playstyle. Other than that, have fun with it. Oh, and dont try to parry anything with a weapon that's bigger than you are.
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