My Character is a nord warrior, leaders of the companion and married to Mjoll. I like to roleplay a little and i want to join the thieves guild to get the nightingale armor. what would be a good reason for my character to join the thieves guild?

Because you "haven't worked a day in your life to earn all that coin in your pocket".

I think it goes something along those lines.

As the Harbinger of the Companion, who is married to the number one crime-fighter in Riften, I don't see any way you'd join the Thieves Guild. I don't really see why a warrior would walk around in Nightingale Armour, too.

If you really want to push your roleplay, you could play it so that you join the Thieves Guild to bring it down from the inside, much like the Dark Brotherhood. And then you run into the problem that it is actually impossible to bring it down.

$$$.

Flowing cash. You can never have enough of it. Even if you are the richest man in the world.

Money, I also believe that Vex rwill only talk to you if you have the Stones of Barenziah.

As others say... Money.
It's very easy to make a lot of money with the Guild. Selling stolen goods, and doing the random side-quests makes you a lot of gold.

http://elderscrolls.wikia.com/wiki/Nightingale_Armor

Unless you're seriously strapped for cash or just secretly a thief, I can think of no good reason. Maybe he's got a debt that he really, really needs to pay.