I completed my first play-through non-lethally. It was a bit frustrating at times but I enjoyed it.
Based on some of the posts I read, there are two points I want to address: guards appearing as if from no where and the morality system. I'll start by reminding everyone that the game is supposed to be dynamic. The game is supposed to react to how you play.
Morality: There isn't a morality system. Gamers and reviewers chose to call it that but the devs called it a Chaos system. To me, chaos is pretty practical and reasonable. If I go through the game killing everyone without ever employing stealth, there will be more security in future missions and the already failing economy and fragile state of the empire falls apart because everyone is freaking out over the maniacal mass murderer running around.
If I go through the game nearly undetected, killing only the main targets or disposing of them by other means, not a lot of info will spread around about my presence or my actions. The endings, simple or weak as they may be according to some opinions, they are results based on how the empire ended up as the player rampaged or slipped though it. Actually on that note I agree that the endings felt lacking. I was expecting something more but at least there are nice wrap-ups even if they are simple.
Random Guards: Since I played carefully and methodically I spent a lot of time watching guards. Again, I'll throw out the dynamic disclaimer here. I learned that when you start dispatching guards, by whatever means, the other guards will notice. You'll even hear comments like, "Hey, I thought someone was supposed to be on duty here." I noticed that as I started taking out guards, the remaining guards would broaden their patrols. I replayed the Golden Cat mission and I managed kill every guard in the brothel without being detected. As soon as I killed the last guard, a wave of new guards immediately entered and spread throughout the building. I thought the response time was unnaturally quick but I guess in Dishonored the guards are actually competent and notice things like the lack of security in a building that's being used to protect two noblemen.
My last $0.02: there should have been more weapon options and abilities for non-lethal play-throughs, the time limit on possession and time stop nearly made them useless, maybe no time limit and a higher mana cost would be a fair trade off.