Wich one you think wich i should start with im a bit new with stealth games.

Start with Thief Gold. It has a nice tutorial.
Also, bear in mind these games require some patience.

Don't be afraid to remap keys if you need to, though. Personally, I prefer Thief 2's default controls. That might also be because Thief 2 was the first one of the series that I finished. Thief Gold is a good start, however, and it's a great game in general.

Ive bought the game and must say i never have played this kind of game before and i like it even if im rather poor in it.

It's learning a new set of skills, you'll eventually get better. The most important thing is that you like it :)

It is I feel like being on my toes all the time since the guard are really strong. I sneak around and here voices and carefully walk around the corner hope ot to come in eye contact.

I always found the third game easier - probably because the levels are smaller. Don't know if it's nostalgia, but I think the levels in Thief 2 were probably the largest I've ever seen in a game (with the obvious exception of games like Morrowind)

Start with Thief Gold. I liked Thief 2 the best though.

I concur, for anyone else wondering which game to start with. The Thief games invented modern stealth gameplay and executed it really well, but they also have a really interesting world and excellent stories. The story carries through all three games, so players will definitely want to start from the beginning to make sure they know what's going on. When I first played I started with Thief 2, and I loved it, but I regret not starting with the first game because I could tell the story was referencing events from the first game that I hadn't seen.

I'd be confused as hell if I started #2 first trying to figure out, "WHAT!? Was he just born with a mechanical eye?"