I'm the 'main thief' for my guild atm, so Ill happily pass on the advice I've been giving my guildmates when they ask about the class:
1) The first 30 levels suck. The class is still 'fun' but you'll lack survival, initiative, and solid damage output. All of this comes from your traits and utility skills, and in the early levels you don't have enough of either to really take much. Grit and bear, because if you can break level 30 you will suddenly be amazing.
2) Shadow's Refuge. Get it, add it to your bar, never take it off. It's no longer a hate shear, but it's an amazing extra-heal and panic button. The Stealth lasts forever, and if you spec Shadows it also heals more, lasts longer, restores initiative, and removes conditions. I'm not necessarily advising any particular build, but Refuge is a must-have skill.
3) Ask 3 thieves for the best weapon set, get 5 answers. I'd love to dote on how much survival you get from a condition based D/D build spamming Death Blossom, or how much a P/P can be used to tear down single-target bosses at silly amazing speeds. I'd also be speaking the truth. Though, if you tried them you'd just as likely be calling me an idiot as thanking me for the tips. The fact is, every Thief weaponset is amazing. You just need to experiment with all 4 (read the next piece for explanation of Shortbow) and find the one that works for you. In reality, it doesn't matter what an excel spread sheet parses numbers at, what matters is which combination of weapons, skills, and traits helps your brain to do what you need to do (explained in #5).
4) The Shortbow is never a lie. The Shortbow is, in the opinion of many, the best weapon in the game. 3 combo fields, a spammable blast, AoE base attack, gap closer and gap creator. Get a good one, keep it upgraded and ALWAYS have it as the backup weapon set.
5) You're the most mortal immortal. I've got a fully geared level 80 warrior that's at the least taken a crack at every dungeon (except Arah and FotM) based on shouts. He works wonderful, and can take more damage than many mobs in the game are capable of dealing. Literally. I've gone AFK in the middle of stupid spots and come back to 5 mobs trying to kill him, never reducing him below 90% hp. That said, my Thief packs more survival in his little toe. There have been countless fights where I was the last person standing, managed to rez my entire group, and still keep 15+ stacks of bleed on the boss. So long as I remember by tools, pack the right ones, and catch my timings I can survive any fight any time. That, however, is also the rub. A warrior can AFK for half an hour and never even notice he's taking damage, but my thief barely has enough HP to survive a single missed dodge. You have to hit all the right skills at exactly the right times, or it'll mean nothing to you and you won't know why.
A few other tricks to help out along the way that I wish I'd known as I'd grown:
It's okay to Auction House (for greens). The few points of extra stats might not seem like the matter, but since your survival is so active the extra second off of a fight is that extra second you needed to recharge an important skill or simply not be dead while everything is on recharge.
Spec for survival. Pick Shadow Arts or Acrobatics, and get it to 30. Which one is your decision, but both restore initiative and add bonus healing as well as increasing damage right-out so there's no sacrifice to picking one of them up.
Weapons are like foods. You won't like some of them as a kid, but as you grow keep trying them out. Over time you'll see that some things you used to hate you now love, and vice-versa.
'He who fights and runs away'. Sometimes things go bad. More enemies pull than you though were going to, something respawns, or you miss a critical dodge. It's ok. You're not a tank, and you're doing nothing wrong by breaking combat to restore your life. Even in parties, you can be more useful alive than you would be downed.
Shadow's Refuge and Shortbow are must-haves. Yup, advice so important I'm putting it down twice!!
I hope all of this helps!