Personally I would go for weapons with a heavy bleed effect as to really go with the hit and run style I imagine a thief having. A good bow wouldn't be a bad idea either so your going to want to pump dex. I aquired a bandits dagger from the bandits nearby the Capra demon that has a high bleed and is VERY fast. I hope any of this helps.
The bandit dagger mentioned is obtained by the thief by default off a dead body in the undead prison. Just pump 3 points into dex then 1 into str, end, and vit, stick with that until you have about 30 to 35 dex, and then start piling points into endurance so you can swing more. I kept the regular thief equipment for a while before getting into blight town (a lot of thief oriented equipment down there). That dagger can do some serious damage once your dex gets high enough. And the bleeding damage it causes is insane. I can swing it up to 9 times before running out of stamina now.
Right now I have 30 dex and my main weapons are Scimitar +5 and Astoria's Straight Sword +2. I grabbed the gold-hemmed (harry potter dementor) equips from the Ceaseless Discharge box and they are <3. I figured the bandits dagger had outlived its usefulness by the time I killed the Taurus, as it wasn't doing enough damage. Should I. +5 that dagger? Or do you know of a good bleed/crit weapon aside from that dagger? I'm having a hell of a time trying to do Sen's fortress with my current equips.
I'm running a thief build, not an expert, mind you, and I'm not far into the game, but so far I'm finding END to be the most useful stat for me, next to DEX. With the Havel's Ring I'm <25% equip load which lets me roll like a madman. I'm finding that the key to my survivability so far is being able to dodge hits, or block them several times successively with a shield with good stability and 100% physical defense. Offensively I try to go for backstabs. I'm really liking the hit-and-run style of play so far.
So far I have a Scimitar+5, Bandit Knife+5, Shortbow+5, and Estoc+5. The Estoc is just in case I need a piercing weapon for scales and armor. Like I said, I'm still early in the game, so i can't wait until I find the more elite pieces of equipment.
With Havel, it took me a few tries since I die in one hit from him. Had to pretty much pull him to the main landing in the tower and circle around him doing backstabs. I was mainly blocking his attacks, then backing away to regenerate stamina, but constantly trying to get around to his backside.
Now that I think of it, with thief so far it seems the rear end of an enemy is a great sight indeed. I've had my share of face-to-ass moments (with Stray Demon being the most notable one).