I usually play mages or thieves. If I would have to choose, I would pick the thief, but it’s a close call. I like shady characters, and I like playing the thief as a scoundrel or knave. But then again, that’s how I play my mages as well.
I’ve played a number of characters that were both: magic-user-thieves, inspired by Leiber’s Gray Mouser. For one 2E character I used the tables in the Dungeon Master Guide to create a new class for a thief character with spellcasting abilities. She had to gain an enormous amount of XP to gain a level, but at the time we used a freeform system to handle XP awards (“everyone gains a level”, basically), so it didn’t matter. Later on, I made similar characters using the Player’s Option books. (multi-classing didn’t work, because I only played human characters, remember?)