Pickpocketing in Skyrim was for suckers. Despite being a kleptomaniac in those games, and pretty much any RPG, I never really bothered with it. Risk too high, rewards too low. Now burglary, that's where it was at. Wait around for the mark to fall asleep, pick the lock, nab everything that isn't down (especially profitable in a shop with a lot on display) and move on to the next house. It was tense, as you could never be entirely sure if the mark was asleep and would need to sneak around in case you woke them up, and always challenging to see how many houses you could do in a single night. It needs to be worth it though; Oblivion had a similar burglary system but it was very rare you'd find anything worth stealing after the first few good shops were cleared. At least in Skyrim rich people in mansions actually acted like rich people and filled their homes with decent loot.
I would honestly play a theft-based open world game, like Skyrim but based entirely around the Thieves Guild, until my thumbs bled. Be a pickpocket, mugger, burglar, whatever, just keep making that phat cash.