First time I played Thief, as soon I saw that Expert difficulty had additional objectives for all missions, and the "Don't kill" requirement, I just went straight into Expert difficulty from the get go with no turning back.
If you've finished the game and like Expert difficulty, I recommend trying out a ghosting run, which is basically the same as Expert difficulty, except you must steal/pickpocket everything and you cannot knock anyone, nor stage monster fights, lure monsters in water or hurl hammer at people/monster. I felt like replaying Thief Gold one day and I tried it out, just for kicks, and after playing the first mission that way, it was a revelation, it felt like the map was designed with that kind of gameplay in mind. Not only that, but levels lose their thrill once you've knocked half the guards unconscious, ghosting means you need to sneak in but also sneak your way out too, you cannot let your guard down because early threat are still present late in the mission.
The challenge becomes somewhat of a chore starting at Undercover, I say "somewhat" because it's still fun but it's clear that you cannot ghost anymore starting at that mission, when you don't knock anyone, the finale of Undercover is to run around the place and steal all the remaining pieces of loot while having an entire squadron of Hammerite chasing you around, Returns to the Cathedral is still doable, but the last three or so levels tend to have moments where you must run more than you must sneak.
People tend to hate zombies because they cannot be knocked unconscious, but in a ghosting run, zombies suddenly turn into guards, guards that walk slower, but plain old guards none the less. Fire Elementals (and Spiders if you got arachnophobia) on the other hand tend to become your worst nightmare when you can't dispatch them.