The Thief spends their time taking what doesn't belong to them. They are the only vocation that has the Pilfer skill. Pilfering can be used to steal items from shops, houses, directly from people (pickpocket), etc. They sometimes use the Picklock skill in order to break in to areas they are meant to be excluded from. Because of sneaking around, they sometimes need to find and disarm traps along the way (2 more skills).
In addition, thieves are excellent at hiding and moving silently. They also have the Dodge skill which can aid them in avoiding attacks during combat.
Finally, they have some minor haggling ability to help them with prices. As you can tell, they have a wide variety of "shady" skills to help them survive and prosper.