if you never went to the thieves guild you'll have to do some quest and you will get some xp and 2 skill pts to put in lockpick/pickpocket/and something else.
something else: Evade trap <img src="/ubbthreads/images/graemlins/winkwink.gif" alt="" />
Kiya
1st quest solved: You can choose between lockpick, pickpocket, evade trap
2nd one is a bet: If you lose, you gain 1 lvl in lockpick and lose 5000 gp.
But there's more to it:
you meet an assassin lady, necessary for a quest and more afterwards
you find one of the sacrifice items after being a member (access to further rooms).