Rohan15: I love the thief's role in European society. The underdog of social standards, the stalker of the night, the nimble fingered hero. BLAH BLAH BLAH ETC ETC ETC. Okay, well, what does the Robber profession open up for the Thief? And do you get to keep Thief abilities like pick pocketing and burglary.
Picking a new profession means you'll retain the old one's abilities, but you'll be able to build/buy the new one's appropriate building as well (up to the level allowed by your rank). However, you should wait until you reach the highest (6th) rank in the Thief profession (if you haven't yet), as if you change, then only the new profession (Robber) will progress.
As for what it gives... IIRC, only robbers can trash people (makes them lose APs) and kidnap them (you can ask for a ransom in exchange for their freedom, or kidnap a political opponent and keep them captive until after the election...).