Cloaks from the destruction area can keep people away, and the call of valor shout can buy you some time. It also can be used when you are seen killing someone and you are either behind cover, or from a distance and under pursuit. The bow is good for stealth kills from a distance, probably most useful in dark brotherhood contracts. For weapons? Use the dagger for backstabs and sneak attacks, and the sword for when your caught and dont have any distance between the target.
Get good at sneak of course, if your going to be a theif, and high alchemy would be good for advanced invisibility and paralysis potions.
