The point of being a thief is not to be seen. If you're a thief running around in the streets, you should find a new profession.

Why would every thief have to hide and jump the roofs. Thief is anyone who's stealing, pickpocketing and stealing from street stands included, and those require you to walk in the street. Wearing a full set of demonic armor from other world will do wonders to scew you up. Then again it should add to the terrifying poinst, if I'd see a person in full daedric stealing crap from my stand I'd even pay him/her not to kill me.

Nazis ("National socialists" in case Beth's inane wordfilter gets to the word) always had the best uniforms.
Most armors in Skyrim are pretty silly; skirts with uncovered knees are the norm, which is just stupid in sub-arctic climate. "full" armors are usually the typical fantasy fare, that is way too big and way too bulky to be practical.
But yeah, female Forsworn armor wins hands down.
It's made for nords, and nords live there for a looong long time. They're not that cold anymore as it would be for someone else who'd come from say Cyrodiil or Hammerfell.
On the note of other armors, people- this is a bloody
fantasy game. If it bothers you that much go larp or play Rome Total War, or make a realistic armor yourself, or whatever. If a game features elves of any kind you can expect at least a few sets that feature some kind of 'extravagant' designs.