I actually like the Thieves Guild - they aren't goody-two-shoes like the previous couple of Thieves Guilds, but they're decidedly more heroic than even the Companions.
I mean, sure, you scare three people into being more faithful with their protection money payments, which is bad. But then you remember that a bunch of the Companions' radiant quests involve you going to a random NPC, even one of your friends, and beating them to a pulp to teach them a lesson.
All of the other Companions' quests are being contracted to kill someone (which doesn't make them much different than the Dark Brotherhood) or doing selfish things for the questline (like finding pieces of that axe, and killing werewolf hunters). I swear, the only reason people consider them heroes is that they're a bunch of muscle-bound bashers who perfectly fit the Ideal Nord Stereotype that the racist Nords of Skyrim so idolize.
On the other hand, the Thieves Guild will retrieve precious heirlooms from rival thief guilds that took it from the dead body of someone's loved one, steal back blueprints from bandits, etc, and their method of dealing with people who offend them isn't to kill them, but to either humiliate them, or frame them for the theft of something else. That's evil but that's clever. Thieves think with their heads more than the mages do, it seems.
"HURDUR BIG SHINY BALL BETTER BRING IT BACK"
"OH NO APOCALYPSE HAPPENED NUUU"
"We want you to solve this problem, but we aren't going to do shit about it. You should feel honored that we even contacted you, mage."
The fact that Mercery Frey is voiced by the same guy who does Garrett helps.