I know in Daggerfall to join the thieves guild you had to actually get caught stealing something, after a few days you would get a letter telling you where to go. I have no idea if the same system is implimented in Oblivion though
The manual hints that sitting in jail can get you "contacts" for joining the TG. Haven't tried it yet and no other opportunity has been presented to me, either.
*yes, I know it's cliche not to read the manual, but I always do, for some sick, twisted reason...*
Ablivius Tooda Maximus
---------------------------
- so don't take my word for it!