Historically, creating a separate thief role was one of the more controversial decisions in the early development of D&D. Separating out a bunch of important functions, such as sneaking around and scouting ahead, into a separate class implied that the wizards, clerics, and fighting men of the day couldn't sneak and scout. The fact that beginning thieves were terrible at sneaking, scouting, and fighting didn't help matters either: what's the point of bringing along a dedicated scout who only has a 1 in 4 chance of avoiding detection and has no chance to survive being detected? Adding abilities to (unreliably) find traps and (infrequently) open locked doors didn't help much, and created a dilemma for adventure designers: add traps and locked doors so as to justify the thief, and thereby force the PCs to bring one along, or ditch all that stuff and let the thief PC be a weak second line fighter and waste of resources?
Dungeon Fantasy hasn't really resolved the question of whether or not to include traps and locked doors, though it leans towards always including them. But a delving band has other options than taking along a pure Thief: Artificers and racial Dwarfs and Gnomes can disable traps and locks; Wizards and Clerics can use Lockmaster and See Secrets to open doors and find traps; Dungeon Demolishers can blow up locked doors or trapped passages; or Barbarians can rip open locked, trapped chests and use their massive HT and HP to soak any bad effects. So while delving bands need to bring along someone to deal with traps, it doesn't have to be a Thief.
GURPS also resolves the question of whether fighting men can sneak and scout: does the fighting man in question have useful levels of Stealth and Observation? Given that Knights have low Perception, and that encumbrance penalizes Stealth, the answer is generally "no." But the Scout has a high Perception, good to great skill in Stealth, is generally lightly encumbered, and has a decent Trap skill. Almost indisputably, a Scout makes a better scout inside or outside of dungeon than a Thief: better Perception to notice things, Tracking skill to figure out what kind of monster is ahead before seeing it, a very useful combat skill (that can be used while running away) to fight off monsters after being discovered.
So that's the Thief in a nutshell: a template that has two main utility functions, both of which can be replicated better by other templates. In combat, the Thief has some of the melee skill of the Knight, but not the strength and armor, or acts as a weak, unskilled ranged combatant.
That's the effectiveness of thieves. The next bit is just some follow-up and background.
The Basic ChassisThe Thief needs lots of good attributes for his role: good DX, obviously, and a decent IQ and a high Perception. He also needs a good Basic Speed to get adequate defenses when Dodging, and a decent Basic Move. High ST isn't necessary, but it helps with encumbrance to keep that Basic Speed, Dodge, and Move high. As written, the Thief Basic Speed is a bit low at 6.00, but his other stats are mostly decent. Investing in improved HT increases survivability, both directly and by increasing Basic Speed and Dodge.
Advantage SelectionAll Thieves have Perfect Balance, which eats up a lot of points with a cost of 15. My experience is that Perfect Balanced is overpriced for what you get, but Thieves should try to stage all their fights on narrow and slippery ledges to leverage the advantage and justify the cost. Flexibility and High Manual Dexterity are thieves' other mandatory advantages, and these two are generally worth the cost.
Thieves get another 30 points in advantage selection, which quickly get split a lot of different ways. Night Vision is almost mandatory, Luck is helpful, and Danger Sense is an obvious choice for someone who goes around sticking his hands into potential traps. For combat, Thieves also have access to Combat Reflexes and Surprise Striking ST. Getting bonus damage when stabbing people from behind is great, but it's also expensive with most Thief weapons use the thrust damage table.
SkillsGURPS has a lot of thiefly skills, and Thieves unsurprisingly get them all: Filch, Pickpocket, Traps, Lockpicking, Holout, Smuggling... The utility of some of these skills in play can be minimal, and its a bit painful to have to buy both Filch (to shoplift unattended items) and Pickpocket (to take things from people's pockets).
Combat wise, Thieves use light blades such as rapiers and shortswords, but not very well. They also have a wide variety of ranged weapons, but none of them are very good: crossbows are single shot impaling weapons, bows are hard to use with Heroic Archer and high levels of skill, and slings do low damage. A lot of Thief players go for the throwing knife, but that isn't really a viable strategy for fighting anything more dangerous than giant rats.
Thief skills or Thief!Thief! is one of the great wildcard skills and any Thief who has the opportunity should take it. A straight thief spends can get Thief!+2 for 48 points, which gives them better skill at almost every thief skill than they got by buying the skills separately. The sting of having Filch goes away if you get every other thief skill at a higher level along with it.
In games using Wildcard Destiny points (from MH1: Champions or Powerups 5: Impulse Buys), Thief! is even better. Disarming the Fatal Apocalypse Deadfull (normally a roll at -10 with failure by 5 or more triggering it) just isn't that big a deal when you can auto-succeed on any thief related roll 4 times per session. This is one of the few places that a Thief is better than a Scout, because Scout! specifically doesn't cover disarming traps.
Thieves and RaceHalf-Elf is an excellent choice for Thieves, since racial Magery lets them detect magical traps with a Perception roll and lets them use Mage Light to have a light source that non-mages can't see. Gnomes have a very useful racial Talent in Widget Worker, and Halflings have a host of advantages that make them a traditional Thief race, but in both cases, combat ability drops off with low ST and size.
An unorthodox but highly successful race for Thieves is Leprechaun. Thieves start with high enough IQ that Leprechaun charms are affordable, and Winged Knife with Ridiculous Luck makes throwing knives into people's eyes into an almost viable strategy. Ridiculous Luck is also generally useful when trying to disarm Fatal Apocalypse Deadfalls. The downside to being a Leprechaun is that with only 4 HP, failing to disarm a trap is usually fatal.
Equipping ThievesThieves want a lot of stuff: spider silk cord and grapnels, high quality lock picks, and a trap-finding kit are almost basic necessities. They need some kind of blade, which is expensive, though which one to choose isn't obvious: edged rapiers are hideously expensive and hard to use in close combat but provide Reach; sabers are less expensive and better for close combat but still provide swing/cutting damage; short swords are the cheapest but can't be used to get a fencing parry. I often favor a main-gauche or long knife: accept that the Thief isn't a front-line fighter and get a blade that is cheap enough to get Balanced or Fine from starting points.
Poisons are an obvious purchase, but can become expensive and heavy rather quickly.
It's debatable how much armor Thieves want. Heavy Leather with Fortify +1 and Lighten +1 provides DR3 for 15 lbs, which is generally affordable and enough to ward off lesser foes. Anything more than that quickly becomes too expensive and heavy.
Thieves in PlayThieves have a lot of utility: scouting, trap-finding, lockpicking. Most of that utility can be better done by a Scout or a Wizard. Still, a wizard's FP tends to get pulled a lot of different ways, while a Thief can try to open a lock at any time.
In combat, Thieves really have one good option: hide at the beginning of combat, get behind a foe with a vital or vulnerable spot of some kind, and make a Telegraphed attack to that spot. Against humanoid foes, this can be good for a kill. Against undead, constructs, elementals, demons without vital organs, Elder Things, and Floating Electric Jellies, Thieves don't really have any good options.
VerdictAs written, any delving band that already has a Scout and a Wizard is not going to need a Thief, and should take a different utility guy: a Bard or Shaman for diplomatic skills, or a Holy Warrior or Swashbuckler for more combat utility.
Should there be a place for thieves? The early literature is full of thief type characters, but Conan and the Grey Mouser are not straight thieves by any means. Only Bilbo Baggins is well-modeled by the thief template. If your delving band already includes 11 other guys, then splitting out another share to get a thief probably isn't a bad deal. Otherwise, I'm not entirely sad that thieves aren't a good template.