I was thinking about something like :

Stealth, Pickpocket, Lockpicking, Alchemy, Enchanting.

Anyone ever tried this kind of build (on Master difficulty) ?

Really really hard to get started, I have vowed to come back to this build at a later time.

good luck on ever finishing the main quest. That is all I can really say.

I've thought about it, but it would take a lot of Speech to get the followers. http://www.youtube.com/watch?v=pRBEF1tRnqY

I really want to just use every companions and see them battle (even the bards? can battle with lute? if you select follow me?)

I want to be a bard ; ; just turn to muscle form

Man its hard to be a thieff.Only stealing no killing.Trying to get in Thieves guild is hard as [censored] without killing.Had to run trough all enemies to get to the place.

I see...

I didn't say "no killing", I just said no perks... And avoiding combat if possible.
I was thinking about relying on poisoning pickpocket, backstab, dual custom-enchanted daggers, strong regen potions, and money...

Ok, I won't probably be able to defeat a warrior on frontal confrontation and I won't be able to finish all quests, but I just hope to have some fun doing thieve guild & db quests.