The Burglar can be a fun character to play.  The single weapon skill and armor restrictions are very limiting at the early stages of the game and the Plate armor will interfere with the high stealth skills required at higher levels.  Since there is little combat outside of the dungeons, especially with Thieves Guild quests, this proves to be more of an inconvenience than an obstacle.  With no starting spells and only 0.5xINT in spell points, the Burglar will be forced to rely mainly on potions and items.  Purchasing a "Bouyancy" spell and practicing with it early in the game (in order to be able to join the Mages Guild and get access to a spell-maker) can at least get the Burglar a "Levitate" and a "Water Breathing" spell for dungeon movement, but magic will always be a tertiary skill at best.  The inclusion of Lockpicking as a primary skill will present problems, but fortunately the game tends to throw more locked doors your way at higher levels.  The best advice is to spend time in walled towns and pick the locks on the doors around the walls.  Once around the walls in every town should provide ample opportunity to develop this skill.