Well, start with Rogue, since you're just starting out.
Your stat emphasis should be Dex, Int, and Cha.
Dexterity is the thief's main characteristic, and drives skills like Sleight of Hand, Open Locks/Disable Device, Hide, Move Silent, etc.
Intelligence drives Search and Appraise, and provides more skill points, which are a Rogue's strong suit.
Charisma helps you with Bluff, Diplomacy, and Gather Information which are often the only reasons the party doesn't kill off a Rogue who brings trouble on them. It also drives Use Magic Device, which is your back door into magic.
A Human Rogue with a 16 Intelligence gets 48 skill points at 1st level. That's more than some Fighters will see in their entire career. (8 for Rogue, 3 for Int, 1 for Human = 12, x4 at 1st level = 48)
Now some racial packages may give stat bonuses that look attractive, but remember that they all include that hidden penalty that counts the same as a -2 Int when it comes to learning skills. I'm not saying not to take it, just be aware of what you're getting and what you're paying for it.
A Skulk has some nifty advantages, for example, if you're going non-Human. So does Changeling.
When you meet the pre-req's, look at Assassin or Shadowdancer as a PRC option. Assassins start to get magic right away (you need to be 5th level, minimum, before you can take this one, due to Skill requirements.) Shadowdancer gets a short range teleport, daily, and eventually a Shadow as a personal familiar. Both eventually get Hide in Plain Sight.
As for Feats: Skill Focus is always a good one if you're theft fixated. So are Agile and Stealthy. Run is almost required for the fast getaway.
There are a lot of people here who can probably tell you more and better PRC options, but "steal anything" is kind of unspecific as a career goal, so if you want more specific advise, give us more specific goals.