How to Join the Thieves' Guild in Oblivion

Break a law (theft), go to jail and serve your sentence. A Dark Elf will give you a mysterious letter, saying "Take this, it's from a friend".

Read a poster of The Gray Fox (which can be found around the Imperial City), or ask for a rumor on The Gray Fox. Then get a beggar's disposition above 70 and ask them about The Gray Fox. Choose the answer "I want to work with him".

After a short introduction to The Thieves' Guild you will be told what your test is.

Go to Amantius Allectus House in the Temple District (follow Methredel once you fast travel).

You may also give 10 coins to a beggar in order to let him mark Amantius Allectus' House on your map.

Once you get there pick the lock and proceed into his house.

In the room you just entered you will find a desk. Open it, take the diary of Amantius Allectus and go to The Garden of Dareloth and report back to Armand Cristophe.

If Methredel has the diary you can do only one thing: Steal it from her.

You may break into her house (in Waterfront District), open Methredel's Chest, take the diary and report back to Armand Cristophe.

If you arrive too late and your opponent has already gotten it, you could either try to pickpocket him/her, or paralyze them and then pickpocket.

If all else fails, and Methredel makes it back to Christophe first, he will give you another task.

If you succeed, you will be able to join the Thieve's Guild.