I've heard a lot about combat and magic, but not so much the sneaky-thief style of play. Is it as satisfying as any other play type? Do the mechanics work well?

It's barely different from Oblivion.

I say this as a stealth dabbler, however. Not specializing in it at all for this game.

It's awesome. I've been sneaking around with a bow, and picking people off from the shadows.

I think it works pretty good. I've been able to sneak around, sort of, at level 1 and break into places to steal stuff. Bows are also amazing. I've one-shotted people with the sneak bonus.