I sometimes install Oblivion only to play through the Dark Brotherhood missions... I just love them
Splinter Cell Conviction was a dissapointment to for two reasons.
1) it was very short. Completed the single player campaign the same day I bought the damn game.
2) Allthough I liked the stealthing bits I felt like they were forcing action upon me. You can buy upgrades for weapons that are anything but stealthy. You must battle several miniguns and a chopper. But worst of all you get trapped in a room with all three exits getting stormed by Splinter Cell agents who can see through concrete walls and pinpoint your location on the dark side of the moon.
Thief never got my full attention, I was too young to have any patience back in the Thief 1/2 days and the third just flew under my radar.
Hitman: Blood Money is awesome, think I'll play it after this post.
A new game to consider.
Vampire the Masquerade: Bloodlines.
It's somewhat old, runs on the source engine and is very glitchy. BUT it's a real treat if you want a game that offers multiple methods for solving the same problem. It's an RPG set in the World of Darkness by White Wolf. It's set in their old setting though so if you are familiar with New World of Darkness you can expect quite some things to be different.
You could roll a rogue in WoW LOL!!!11!
You could build a stealthy character in Fallout 3
Ooooh another awesome game.
Dark Messiah of Might and Magic
It's an extremely linear game you don't have many options from an RPG perspective. But you do have options how to build your character. With a skill point system you can go into three main categories. The "warrior" kind of category, the "mage" and the "thief". The story is pure crap, but the combat makes up for it, imo. Backstab your opponents, cleave them in two or throw fireballs in their faces. All in true aim btw.
You could also play a spy in TF2

lol!
If all else fails, you could play sims and build a concentration camp. Always makes me feel better
