The Thief series definitely is one of my favourite series of games - I even quite liked the third, in spite of its issues. I understand why it had to do things differently and I think they had a good idea with it, they were just a little too limited, and could've executed some of their ideas a whole lot better. (Let's face it.. on the PC, the pre-rendered cutscenes many times uses a model of Garrett that is of a LOWER QUALITY than the one you actually have in-game!)
Then again, Deadly Shadows had the Cradle, which forgives a whole lot as no game has ever sent so many shivers down my spine as that singular level. It was utterly terrifying, and designed with such genious that it raises the question of why the rest of Thief 3 isn't up to match.
The first two games however were definitely special, and their fanbase can be quite protective of them with good reason. All the miscelaneous notes and books you can find across them to read added alot to the world you were in, and it was an empowering feeling to undertake Ramirez' mansion on Expert in Thief: Dark Project and not only fulfil the normal, hard and expert objectives but also dump an unconcious Ramirez in a house half across the district before vanishing into the night unseen and unheard and softly laughing to yourself imagining what HIS morning will be like.
And then we get to the Haunts, which are the singular most terrifying enemy I've ever met in any game and whose graveyard-like breathing, rattle of heavy chains and talks of flames and joining can still send shivers down my spine. Ironically, the only Haunts I've actually not been scared of was the two ones I came across in Thief 3 (only ever seen two of them there) that had the misfortune of appearing just after the Cradle was over, at which point I had just fought an entire house of sheer terror and wasn't all that fazed by the presence of two skull-faced men and their ill intends towards my physical and mental health.
Edit: removed a boo-boo caused by too early mornings which made me look like my brain had died.