In Skyrim it is certainly easier and more organic to roleplay as an assassin. There is one thing that makes it more fun to me to play as a thief. First, you avoid random animals like bears etc. Assassins who can't handle wild animals don't really appeal to me. Second, playing as a thief gives you a reason to delve into all sorts of caves and dungeons - you search for something of value. For assassins it doesn't make sense to investigate a wolf den. Third, assassins need contracts and targets. Thieves don't need a patron or anything like that, you can be completely on your own. Overall though, the game doesn't utilize a lot of potential when it comes to stealthy playstyles IMO.