Yes, the thief games, of course, all three of them were based around this. The first Thief game was the first game to do this at all, it started the genre. All three games are great, and if you really liked this style of gameplay then I recommend you start with Thief 1 and work your way through all three in order. It's got a detailed story line, and it would be cool if you could get to see the story unfold in the proper order.

Not sure if the older Thief plays properly on the newest OS's or not, but I'm sure that if you run into trouble then there will be internet sites to help.