Oft neglected, but very profitable, is the fine art of thievery. It involves picking pockets, burglary, breaking and entering and shoplifting. In Daggerfall, crime pays and pays well. It's a means of increasing your wealth, a source of equipment and a method of increasing certain skills.
Picking pockets is just that - you pick the pockets of people in the street or critters in the dungeon. It involves a check against your pickpocket skill to see whether you succeed. If successful, what you get ranges from nothing to 5 GP per attempt. Failure brings the guards running.
Burglary involves going through someone's house or store and stealing whatever you can find. Some of the stuff will just be laying around. This stuff is free for the taking. Other loot can be found in boxes, cabinets, dressers, etc. When you click on it you'll get a message saying it looks like personal property. If you continue, you're burglarizing and the guards will come after you if you fail your skill check. The stuff you steal in this manner is mostly worthless. But doing it increases your skills. If you want to steal valuable stuff, go raid the palaces. They usually have several paintings stashed in crates in the back room.
Breaking and entering involves breaking into a residence or store through a locked door. You're attempting to pick the lock and it involves a check of your lockpicking skills. You get one free attempt. A second attempt will usually bring the guards running. You may also attempt to bash the door, again probably rousing the guards. Interestingly enough, bashing on interior doors doesn't seem to bother the guards at all. So if you run into the occasional pesky door inside a building, feel free to vent your frustration on it.
Shoplifting is done in a store. You click on the shelves and select an item. Then, instead of clicking "buy", you click "steal". A check against your pickpocket skill is made and, if successful, the item is yours. Unfortunately, the check is modified by the store owner's skills and the weight of the item you're trying to steal. More often than not, shoplifting is not successful and it's almost never successful in weaponsmiths or armorers.