Before you start the dark brotherhood or the thieve's guild you can randomly loot stuff, but you wouldn't be able to sell stuff to the fences until after you join the thieve's guild. as soon as you join up you have to be careful who you steal from because some houses are protected. delvin malloy wrote a book called the shadow marks i recommend you carry this on you at all times so you don't forget the symbols. mavin has contacts with the brotherhood so she won't hesitate to send out a few people if you made her po'd, which is one possibility, i also noticed you get a random thief on your a$$ too. if you can figure out whose sending the contracts on you, you can call the person out. I've only seen this done once, because it's hard to determine who sent the person after you. personally i've only gotten the thieve's after me, but the good thing about these guys is they're easy to kill and have high value treasure on them. so if you get the lockpickng perk to find 50% more special treasure then i think it would be more beneficial.