When you play combat only, you can:
-run into combat
-run around dungeons
When you play magic only, you can:
-use lots of different spells
-chill back while minions fight
-enchant uber clothes to be better than armor
When you play thief only, you can:
-unlock stuff
-pickpocket people's items, and steal their belongings while they sleep
-sneak around undetected
-stealth kills
-poison people
-drink a bunch of potions so you can tank a boss
I think the stealth+stealing+openinglockedstuff aspect of the game adds a LOT of variety to a playthrough. It adds more, imo, than what magic and pure-combat does.
Basically, by playing a thief, you open up a lot more of the game, and you give yourself more things to do.
This is why, when I play a mage or combat character, I always end up taking the 3 ESSENTIAL stealth skills - lockpicking, pickpocketing, and sneak. Without these 3 skills, the game feels MUCH different (and smaller) to me.