The Thieves Guild hangs out at Dirty Muriel's Cornerclub in Sadrith Mora. It's right at the foot of the bridge leading in to Wolverine Hall. The local guildhall leader and quest-giver is Big Helende and you'll find her upstairs at the top of the stairs.
Your first task is to hop on over to Anis Seloth's shop (the town Alchemist) and look around for a potion recipe for "Dispel Magic". The client is Tusamircil, the alchemist in the Mages Guild hall. Hmmmm. Must be spying on the competition or something.
After nosing around the shop, there doesn't appear to be anything laying out in the open, so it must be in one of the containers. It is, but not the locked chest downstaris (Anis and her guard will take offense if you try to open it). It's in the crate upstairs. If you don't already have a recipe, read it and make a note of the ingredients. Potions are really good for working around those times when you lack the magicka, have damged attributes, or are otherwise unable to cast spells.
Once you have the recipe, deliver it to Tusamircil and then report back to Big Helende to complete the quest. Your reward is the usual disposition and faction rep boost, plus 500 golds for your trouble.
If, for some reason or other, Tusamircil is dead, this is the quest you start with. A "simple" fetch and carry. The client wants a Grandmaster's Retort, which is a high-end piece of Alchemy equipment. Helende suggests checking out Berwen's Trader shop at Tel Mora, but any old Grandmaster's Retort will work.
When it comes to high-end equipment, I'm really not happy with taking something that's owned by someone else. It's not that I have any great objections to the theft, but I really don't like it that every other piece of that same item ends up being owned by whoever I stole it from.
As it turns out, there are four Grandmaster Retorts that are not leveled loot:
There is another Grandmaster Retort kind of out in the open. It is owned by Andil, the Apothecary in Tel Vos' Services Tower. He should be willing to sell it (it's not really part of his inventory) and he has a 10 Mercantile skill. The Retort is in a bookcase, just inside from the upper entrance to the tower and there is a nearby guard, but Andil is a bit farther away. If you're not Telvanni, you might be able to "grab and git" since the exit is so close.
Aside from those three and Berwen's, the only other Grandmaster Retorts you will find, show up as leveled loot. But those don't show up until you're level 20 or so.
So, your options are steal it (tainted ownership), buy it (base value: 1600), or hope that it shows up somewhere as leveled loot (if you're really high level). Berwen's and Abelle's are probably the easiest to steal; Andil's and Daynali's are probably the cheapest to buy.
Helende is only going to give you 200 gold (and the usual disposition and faction rep boosts), so buying is probably not an option unless you're exceptionally flush.
Time to hire a little protection. Helende wants you to go over to the Mages Guild and see if you can hire a wizard to help protect Dirty Muriel's. Abielle Phiencel is the person who can provide you with the guard you want. But "nothing for nothing" is the rule. Abielle wants four pieces of Raw Ebony. No Ebony, no guard.
There isn't anywhere that you're guaranteed to find four pieces just kind of laying around. But it shows up fairly frequently in those barrels in Dwarven Ruins. There is often a piece or two laying around in Daedric Shrines. Alchemists will occasionally have some (it's 50/50 chance each day, but the base cost is 200). It turns up a lot in Ebony Mines if you can pick it up without the guards or miners noticing.
To get to the Sudanit Mine (it's Redoran), for example, go east from Fort Buckmoth. When you get to the Ghostfence, the trail will turn south. A bit farther down, the trail will split with part of it going east to Ghostgate and west to the Sudanit Mine. There are lots of Ebony deposits (some with as many as eight 50/50 chances for containing Raw Ebony), lots of miner and lots of guards.
There are three pieces in Abanabi (southwest of Sadrith Mora). They're on a dresser right behind a Level 20 Sorcerer named Draramu Hloran (you go here for one of the later Imperial Legion quests). Since you'll have to get by her to get to the Ebony, you might as well take Chrysamere off of her rapidly-cooling corpse. I don't know how much good a Claymore will be to a thief, but you never know.
When you have the Ebony, go back to Abielle. She'll dispatch the guard and you can report your success to Big Helende. She'll give you a "Dire Shardbolt Ring" and the usual disposition and faction rep boosts.
Fara (at Fara's Hole in the Wall) and Dinara Othrelas (Llethri Manor in Ald'ruhn) have an annual cooking contest. Dinara has apparently been winning for the past few years and Fara wants to tilt things to her favor. You need to steal "Redoran Cooking Secrets" from Dinara. You can deliver the book to either Fara or to Helende.
Believe it or not, getting the book isn't that difficult. If you are a member of House Redoran or can be the original "silver tongued devil", Dinara might like you enough to just hand it over for the asking (she needs a 95 disposition to do this). If she doesn't like you that much and you don't want to get her disposition up that high, the book is in a chest (50-point lock) at the end of her bed in the Private Quarters section Llethri Manor. The chest has some golds on top of it and there isn't anyone around, so lifting it might be the easier route to go.
Helende will give you a Quality Potion of Chameleon and the usual faction rep and disposition boosts.
Helende wants you to steal an Ebony Staff from Felen Maryon (he's in Therana's Chambers at Tel Branora). The problem is that he's standing about 2 feet from it.
Depending on your Sneak skill, that Potion of Chameleon might be useful about now. The grab and run strategy might be a problem because Maryon is so close, but it can be done with a little magical assistance (Chameleon, Telekinesis, etc.). Remember that Invisibility will dispel as soon as you interact with anything (like grabbing the staff), so exercise caution, save before trying anything and good luck.
When you have the staff (Cast When Strikes, 3-7 points of Fire, Frost and Shock damage), Helende offers you the choice of keeping it or splitting the proceeds of the sale. I'd recommend keeping it. If you don't want/need it, it's worth 4300 gold if you sell it to Creeper or the Talking Mudcrab Merchant (you can always buy it back for the same price if you change your mind later [might not work for XBox folks]), which is way better than the 250 gold that Helende will give you. She'll also give you a "Ring of Far Reaching" (Telekinesis 25 points for 5 seconds) and remove any bounty you might have picked up in the process.
This is Big Helende's last quest.