The Thieve's Guild is possibly the most consistent of the guilds, having appeared in every game as "the Thieves Guild" since Daggerfall (Arena didn't have factions). The Guild usually exists through a series of bribes to officials and by holding a certain level of control over members. Almost every iteration of the Thieves Guild has had three main rules: Don't steal from fellow members, Don't steal from the poor, and don't murder people while on the job.
In Skyrim, these rules are strictly enforced but the rest of the rules are more lenient, allowing for the use of blackmail and extortion. The Thieves Guild in Skyrim is located at the Ragged Flagon under Riften. Seek out Brynjolf to join.