As theives, cities are crucial to our success. While it is habit of ours to apporach every building, person, or wagon looking for treasure to steal, if we only relied upon what we stumbled upon in the wilderness, we'd all be left empty handed. With concentrated amounts of people, comes concentrated about of gold to make, or should I stay steal?
Rften, being the hometown of the Theives Guild, should be a major checkpoint on your list. Wether you're actually a part of the guild or not, this town will become a valuable resource for you. With Tonilia as you resident fence, and Maven Black-Briar at your back, you may as well assume you're invincible while in this shady-I mean charming-town.
Ahh, Windhelm. Home of the dumb ol' Nords! The dummies wouldn't notice if you took their prized posession from out of their hands! While this is true, do remember to be careful. If you do get caught, it wouldn't be pretty. Mr Shouty Pants isn't really known for his genorosity.
In terms of stealing oppotunities, Whiterun is not a poor choice to ake up residence for a little while. It is, after all, it is the tading capital of Skyrim. And with Dragonsreach perched at the top of that hill, with Jorrvaskor just to the side, you could get a preety good run for your money in this town.
Be sure to stay dry as you sneak through this stair filled city. It's filled to the brim with Dwarven artifacts, which may not be worth much on their own, but when added together, expect a pretty sum. Although theres such places as the treasury house to get a few items to you liking, many theives wonder if it's worth it to ssteal here, as a stint in Cidna Mine is sure to make anyone crazy.
Here we have the mighty city of Solitude. Captial of Skyrim, and home to the Imperial Legion. Although they are too busy running around in circles trying to catch those noisy rats of Stormcloaks that they wont even notice their gear is missing! Everything from The Winkiing Skeever to The Blue Palace has load of treasure for the taking!
Furthur to the north we have the mining city of Dawnstar. While there isnt a ton of treasure in town, the people are too distracted by their nightmares and Jarl crisis to be looking out for a sneaky hand. A good place to try is the Mythic Dawn Museum which, creepy as it is, may have some good loot.
If you dont have a problem with creepy places, than Morthal is right for you. With the repeated rumors of a ghost known as "The Pale Lady" roaming the lake at night, many thieves decide against creeping around in the dark. The loot is mediocre, so this city is not a recommendation of mine.
In the very south of Skyrim you may run across a small city by the name of Falkreath. Primarily known for its large graveyard, Falkreath may not have the loot you are looking for. There is decent enough loot inside the houses, but people already think we are monsters, so lets not make it worse by desecrating a grave, okay?
Surrounded by blizzards and ice wraiths is Winterhold. If you can get past the hate for the mages, you may make it to the College of Winterhold bridge. If you can somehow get past the mages and survive the mile trek up the unstable bridge, it will be well worth the struggle. Much loot to find, much loot to sell.