The only two major flaws in Thief 3 are that they took your sword away. Fighting with the dagger is plain boring, so it can only be used to stab people from behind, which makes it nothing more than a deadly version of the blackjack. No thanks. Blackjack for me.
The other flaw is that healing potions are so damn cheap in every meaning of the word. I refused to buy any and it made the game a lot better.
Also, and this is true for all the Thief games, try to kill/knock out as few guards as possible! Sneak around them. Don't flatten all of them first and search for goodies afterwards. That way you have a sense of danger throughout the whole mission.
Another thing to do is to lower the gamma setting so places where you are 100% hidden appear 100% black. That way not only you can disappear in shadows and reappear to strike someone, but also the guards.
And crank up the volume so your steps sound as loud as they would as if you would walk around in real life, better yet, set a bit louder. That way the game makes you jump when all of a sudden a guard you haven't even seen before because he was in a dark area of the level starts screaming at you.
I think the Thief games are one of the most atmospheric games ever created, but they have a number of devices for pussies e.g. the possibility to increase the gamma values to abnormally bright levels etc. But if you play the game as it is supposedly meant to be played (=setting it to very dark and very loud, not quicksaving all the time, not knocking out everyone but only those you cannot sneak by) the games just rock your socks.
EDIT: I just remembered more great missions in Thief 3: The one where you have to break in the house of the hag and when the hag hunts you in the city... Also the minimalistic cutscenes rock! The one where you first encounter the hag or the ending when Garret catches a child who tried to steal something from his belt and when he realises that everything is one big cycle the rock-music fades in. = Awesomeness!
Thief 1 and 2 had a similar style for their cutscenes but I can't remember any one but the one where you meet the forest godess in Thief 2, but that one was awesome as well.