-Yup, the level design. The first mission was... it was ok, but I was expecting more. Too many corridors with no apparent purpose. Too hard to tell where you are, etc. Lots and lots of useless backtracking just trying to make sense of where you are because the level design is so bland.
I'd suggest giving Thief 2 a go, the level design in there is much better (LGS wrote the levels first and then tried to plug them together with a story). I would be interested to see what you make of the level design of the Assassin's Guild level in Thief 1 though :)
-Yup, the audio is pretty damn poor. Mind you, I was even playing with headphones on and it's impossible to tell anything by the footsteps. They always sound the same.
(Throws cushions at you ;) ) To each their own. The EAX is a bit dodgy, as it was really cutting-edge when it was released, but you should be able to tell tthe proximity, direction, and walking surface of the guard's footsteps. Plus they get blocked by walls and doors, and doorways provide a proper diffraction pattern.
-But in general I was just really unimpressed by the stealth mechanics. Mind you, I have finished Deus Ex for example as a pacifist a good half a dozen times. I'm currently on my 3rd playthrough of Human Revolution, also as Ghost and Pacifist. I'm used to taking my time, saving and loading a lot, etc. But in Thief... Guards will spot you unless you are directly behind them (270 degree vision), the smallest step on the wrong surface will make noise, etc. Hiding in ridiculous places is possible just because there's an arbitrary shadow there. A big meh. I understand that this game was monumental for its time, but the gameplay is simply way too outdated for me to be able to enjoy it. I will try out the sequel and see if that will offer a slightly better experience.
Yes, you need to be behind the guards (or at least, out of their 270' field of vision), and you also need to look out for what surface you rapidly approach them on. Thief 2 takes this to the extreme in places, with ridiculous floor surface choices (e.g. huge amounts of marble floors in First City Bank and Trust), but there's always a way :)
It's also worth pointing out that Thief, more than any other game I know, even Deus Ex, rewards non-linear thinking and explorative gameplay. This is where the level design shines through. There's always about 4-5 ways of doing things, from full-on attacking, to sniping with arrows, to causing diversions, to usually 3 ways of performing each task (with the obscure or difficult ones tending to get you extra loot).