You have to be stealthy, because you don't really have any tools to take people out immediately. The enemies in Thief are believable, and they make you jittery and scared. Every step could be Garrett's downfall. But perhaps guards should take it more seriously when a torch goes out, or when their buddies disappear. They shouldn't sit idly by.
Thief also has a strong story running behind it.
It has set up a world of the Keepers and of the Hammerites, but I'll leave that for you to see. I have not read of anyone commenting on the style and hipness of the videos inserted between missions and at the beginning and ends of the game. I guess they're playing the warez version. But as the movie progressed, I saw that it was completely appropriate, and made it even more cool. Whoever designed those things deserves major fucking kudos.