TheDudeLebowski: Haven't played it yet. It's in my backlog. How does it hold up?
The Thief games are a bit... all over the place. T1 and T2 were made by one company. They had very large maps, and people liked the mood of the games. T3 came years later, from a different company, and was made for console. This made the maps a LOT smaller, with far fewer creatures per map, and many gamers were very unhappy with it. They felt it was a solid step down in almost every way. Most recently was T4, by yet another company, and many felt the game was all about railroading the pc, eliminating the freedom to explore that many loved in the first two. They also disliked the removal of the culture present in the other games.
I would guess that if you start with 1 and 2, 3 and 4 may be disappointing, perhaps greatly so. However, if you start with 3 or 4, you won't know what you're missing, and possibly enjoy them on their own merits. T1 had zombies, even a full zombie map. I don't believe the other games did. HTH