Oblivion:Burglary

thumb|right|Stealth is a thief's greatest asset
Burglary is an optional aspect of Oblivion that was already present in the previous games. In Oblivion, however, burglary becomes much more important due to the way the Thieves Guild works. Burglary is the only way to progress in the ongoing Independent Thievery quest and therefore move up ranks in the Thieves Guild.  However, being a member of the guild is not required in order to commit a burglary.

Selling stolen goods can easily be done through the Thieves Guild's fences if you are a member.  Outside of the guild, your options for selling stolen loot are much more limited.

The Why
There are many reasons to commit a burglary in Oblivion. The main one is probably to get money by selling stolen goods, even if only to advance in the Thieves Guild. You can easily earn 500 shiny coins with a single wealthy house, and having a good Speechcraft skill and finding the good house can get you past a thousand.

Another reason is to find specific gear. Spotted a nice chainmail, but someone else is wearing it? Why not steal it? Especially when that gear is known to be magical, burglary can give you access to some interesting equipment options. A Thieves Guild fence can launder the item for you for a fee. To do this, first sell the item to the fence, then buy it back.  The fence keeps the margin between sale and purchase price, but the item will no longer be marked stolen in your inventory.

The Where
Guilds and shops are usually the most profitable places to break into.  The shelves of shops have some very nice goodies, including weapons and armor that you don't need (perhaps you already have a better bow than iron, or you specialize in heavy armor, so taking fur and leather armor is of no concern to you).  Guild halls also have some very lucrative stuff and when everyone is away, you can loot and take things without consequence.

The Who
There are three basic options:
thumb|left|
Burglary of an empty house
In case you don't have a specific target in mind, finding the right house to break into can be a tough job. There are some simple rules to find a house though.
Find someone who is leaving his/her house. Stalk that person for a couple of hours. The idea is to get their time schedules, as they are basically the same every day. If that person stays outside from 6 pm to 1 am, you know you have those hours to explore their house the next day.
Find someone wandering in the city. A random person can be just as good as the case above, except you will have to find their house, if they have any.

Burglary while owner sleeps
Usually, a locked door is enough of a hint that the house is a target. Mistakes won't be critical. If the owner is outside, all the better. If the owner is inside and awake, politely leave the stealth mode and leave, don't panic, usually the worst thing that happens is that you're asked to leave. Obey, wait for another opportunity, as the owner of such a house often stays awake for the remainder of the night.

Burglary in a guarded house
If you feel confident enough with your burglary skills, you can try more challenging targets. The Imperial Palace in the center of the Imperial City (not much to steal, mostly for pride and personal glory), the castles of the various counts and countesses in each city, the headquarters of a guild, are various examples of suitable targets for a master thief.

In these buildings, rules for burglary are different:
There are guards patrolling, and some of them won't simply ask you to leave, they might demand that you leave, or even attack you.
There are times when some people are asleep, but due to the large number of people in those buildings, there is no definite safe time to come in.
There are keys. This might sound insignificant, but if you can steal those keys from their owner, opening most doors becomes much easier. Sometimes, those keys are even necessary.  Fortunately, since keys are weightless, they are usually relatively easy to pickpocket.
Some of the most valuable goods are held by people, while common houses have their prizes in chests and drawers.

The When
Preferably when the owner of a property is out. If they are out of their house, you know you'll be alone to loot the place to your heart's content. However, you can also do it while they sleep. In this case, it is much harder to know when they sleep, but it comes back to the same plan.

The What
Steal only what is valuable. Take anything that weighs less than it is worth.  In other words, look for items that have a gold/weight ratio above 1, or even better, above 2. SAVE before trying to steal from a sleeping person. If you're a vampire, you can safely drink their blood.

Money, as in cold hard cash, is infinitely valuable in this respect.  Money is weightless, yet has monetary value (obviously), and if it's not on the body of an NPC, you have absolutely zero chance of getting caught (after all, it's the container you're looting from, not the NPC).  Best of all, it is never marked as stolen, and since the bounty for theft is only half of what you stole, if you only steal cash, then even if you are caught, you will still make a 100% profit after paying the bounty.

The How
Common part
right|thumb|Lockpicking is a refined art
#First of all, clear your inventory, and remove anything heavy you know you won't use. Leave them at your house if you have one, sell them if you don't need them at all, or leave them somewhere. Buy some lockpicks if you know where to buy some (usually from Thieves Guild members or Shady Sam). Buy the spells you think can be useful, the scrolls, the potions, etc.
#The next step is to enter the house. The first obstacle is the door. If it is not locked, there is no problem. However, if it is locked, you must unlock it. For this, you can use a spell (Alteration school of magic) or lockpicks. Using a spell to unlock a door or a chest, even if it doesn't belong to you, isn't illegal, so you don't need to hide in order to do it. However, you must hide if you unlock the door with lockpicks.
#Once inside, take what you want, check the least obvious places, such as looking in basements for valuable wines.
#If the owner shows up, don't panic. Just cease your thieving activity and head to the exit. If you meet the person, you may nicely greet them or even chat some, and if asked to leave, politely obey. Trespassing is a crime only if you refuse to leave when asked. It's good to have a quest for the person in question, as they will likely forgive your trespassing once asked for quest matters.
#Once done, just leave the house. Leaving a house is not illegal, even if the house isn't yours, and even if you illegally unlocked the door. So, when leaving, you don't need to hide.

Burglary of empty house
Try to hurry up. The owner will eventually be back.
Feel free to use any means you wish, unlock spells, running, jumping, pushing to your advantage. 
Don't ponder too long on which items to pick. Grab all that looks valuable, then if you become over-encumbered, drop the least-valuable items. You may do it in a little-used place or near the entrance so you can go back to pick it up later. The owner won't notice the mess unless you pick it up in their sight.

Burglary while owner sleeps
Remain in sneak mode at all times. Avoid jumping and knocking things.
You can take your time, but don't overdo it. You should be more picky about what you take (dropping many items at once can cause too much noise). 
Target the same house on multiple nights to remove items too heavy to carry in one trip. 
If you hear footsteps, stop stealing and head for the exit. The session is over for the night. Don't panic if you're spotted, just leave sneak mode (nothing worse than accidentally pickpocketing an angry owner), then casually leave.
If stealing items from an occupied bedroom, keep an eye on the bed. As long as the owner lies down, you're unseen and can steal. If they wake up, just stand up and leave.
If you want to pickpocket a sleeping person, SAVE! It's very likely they will wake up and call the guards. Sometimes you can't steal certain items from the person unseen, while others are easy. Reload and try another combination.

The owner is present and awake
If the owner wants you to leave, just obey. Come back later when the owner is asleep or away.
You can't rob everything in sight, but if you spotted something you desire, walk to the other end of the house, the owner will follow you, save, run to the other end of the house, enter stealth mode and quickly grab whatever you wanted before the owner arrives. Alternatively, you can hide behind a cabinet (or similar object) and pick up your object while you are out of the owner's line of sight.
If the item is right in the middle, in clear sight, knock it by running against it at high speed, then kick it to some obscure corner by running over it (don't grab/pick), then repeat the "leading away" trick above. Alternatively, you can use a Telekinesis spell to move the object right next to the door, and then release it for a later session.
If you can get a combined 100% or more chameleon effect (Illusion school) from spells and equipment, you are effectively invisible and that won't break when you take objects. You can walk right in and snatch anything you'd like from nearly any house.
If you have an invisibility spell, you can cast it on yourself as soon as you spot something you want, but can't afford.  The spell will be instantly dispelled when you take the item, but the house owner will not see the actual taking of the item.  It is best if you use a custom spell with only a five or ten second duration, as that is all you will need.  This is especially useful in shops, where you will not have to worry about trespassing.
Alternatively, you can Demoralize the occupant and cause him/her to run away, leaving you free to loot his/her house for the (usually short) duration of the spell.

Elements of use
There are quite a few elements important or useful in the burglary career. Most of them are not essential however.
Sneak : Obviously, when you unlock the door, you need the sneak skill to be able to do it unseen. Then, if the owner is sleeping, by staying in sneak mode you will avoid waking them up, allowing you to rob the whole house dry.  If your Sneak is less than 50, pay attention to your footwear.  It's probably best to go barefoot if you have low Sneak skill.  Once you become a Journeyman, it doesn't matter any more.
Security : Needed to unlock the front door of the house, along with any other door and chest inside the house. Alteration spells bypass the need for that skill, as does the Skeleton Key. Also, if you get the hang of the lockpicking minigame, near-null security level is not an obstacle.
Illusion : Illusion is a useful school of magic, as it allows you to use Chameleon and Invisibility.  It also allows you to influence people who guard whatever you are stealing (Charm, Demoralize, etc.)
Alteration : This school of magic gives you access to the Open spells for unlocking, and to the Feather spells, both of which are very useful.
Mysticism : Detect Life can be useful to find out who is where in the house.  Telekinesis can occasionally be very helpful
Vampires : The first level of vampire gives you an excellent Detect Life spell (very long range, for a very low cost).
Crime: Be sure to know the consequences of your crimes, and find out how to avoid punishment.

Required Thievery
Some quests will actually require that you steal — even for the "good" guilds (i.e., the Fighters and Mages Guilds). If you want to play a character that does not ever steal, you may be unable to complete several quest lines. Besides the Thieves Guild quests, the quests that require you to steal are:
Main Quest:
Dagon Shrine quest: must steal the Mysterium Xarxes.   Fixed by the UOP.
Fighters Guild:
The Hist: must steal two Loose Pipes to destroy the Hist Tree.   Fixed by the UOPS.
Mages Guild:
Cheydinhal Recommendation: must steal at least one of the special Black Soul Gems from Falcar's room. However, you do not need to steal the second one.   Fixed by the UOP.
Daedric Quests:
Mephala: must steal the Dalvilu Cermonial Dagger and the Ulfgar Family Ring.
Sheogorath: must steal a wedge of Olroy Cheese.
Master Training:
Sneak Training: must steal a coin from Marana.

Optional Thievery
Some quests have optional methods of completing them; thus stealing is not actually required, but one of many methods that can complete the quest:
Mages Guild:
Bravil Recommendation- While it is entirely possible to steal Ardaline's Mage's Staff from Soris Arenim, Kud-Ei suggests that you persuade him using some Beguile scrolls into letting you have the staff.
Bruma Recommendation: expected to steal Jeanne's Manual of Spellcraft. Can be avoided if you search for J'skar on your own.
Chorrol Recommendation- When you give the book to Teekeus, Earana will ask you to steal it back. You can deny this request and end the quest. Also, if you give the book to Earana first, you will be required to steal it to complete the quest.
Dark Brotherhood:
Affairs of a Wizard- A method of defeating Celedaen requires that you pickpocket The Sands of Resolve.
Other Quests:
Corruption and Conscience: one method of completing the quest requires you to steal a Suspicious Letter.