In Mark of the Ninja, well, there are a bunch of ways to have fun with this one, but for me, the game isn't challenging at all unless I go for a no-kill run. As a result, I always choose the Path of Silence outfit.
On the other hand, if you're just looking for a fun romp as terror incarnate, try using the Path of Fear/Terror (I forget) outfit. I love using that in the stage where gas is rising and you have to survive until the door on the roof opens. Just kill a guard somewhere near the bottom and hide in the top and watch as all the guards spot the body, freak out and shoot each other by accident, making more bodies and causing more guards to lose their cool. In the end, it's a friendly-fire massacre.
Also, in Thief 2, I like going for a no-save run of a level. It makes things much more intense. However, there are conditions: If there's lots of platforming, or pixel-hunting, it can be too frustrating. Otherwise, it's fun to have to escape the guards on your own rather than reaching for the quick load button.