The quest to join the Thieves Guild in Oblivion is one of the funnest faction introductions in the series, as you follow rumours of the Gray Fox to a mysterious garden, and compete with fellow thieves to steal a diary before the night ends. "Why join the Thieves Guild?" you may well ask, given you can simply steal whatever you want anyway...
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How to join the Thieves Guild in Oblivion
Source: PC Gamer (opens in a new tab)