Thief Gold is not as good as Thief 2 in my opinion. Thief Gold is a masterpiece indeed but Thief 2 is the masterpiece I prefer. Okay, now on with the pros and cons of Thief Gold.

Pros

Oozing with atmosphere-I LOVE the atmosphere in this game.
Great story-Not as deep as Thief 2's story but it builds character development instead of starting five levels in.
Some great levels-The levels that involve actually thievery and all the talisman stealing missions are excellent.
Interesting lore-The Keepers (underused in this game) The Hammers(the most well known of the Thief lore), and The Pagans(creepy)
Medieval/Fantasy world-I love the combination.
Music-Best music out of all the games.

Cons

Some compact and maze-like levels-Really not the biggest fan of the level design in this game.
Garrett: The Night Stalker-My biggest problem with the game. It is so frustrating to use stealth with these enemies that it almost forces you to use combat. There are too many of these levels. The only one I like is Return to the Cathedral.
The AI at times-You can't even sneak up on a sleeping enemy without him or her being alerted.
Not enough thieving missions-The tomb raiding missions are some of the worst levels in the game.

I love this game but the cons really take some of my enjoyment out of the game.

It is the other way around with me.

I find Thief 2 is rather dulled, quite boring story and do not really like the steam-punk elements in it. I finished it, but it wasn't even close to the blast I had with Thief TDP

The Thief TDP (or Gold, I haven't played Gold, but I suppose Gold just adds more levels and areas to existing levels and does not change the story and atmosphere much) is exactly what I love in games: stealth, stealing, supernatural things, tombs, undead, magic. Top it up with the amazing atmosphere, awesome level design, very very cool plot, incredible voicing and ambients/music and you get one of the best games ever. :)

Man, you just shouldn't even compare these two...

But people do, all the time. There are a whole bunch of threads here making exactly this comparison, and opinions are decidedly split on which game people prefer. I choose to believe this is because both games are fantastic.

For the record, if I had to pick I'd take the second game, because I like the pure thievery missions a lot (which there are more of in Thief 2) but the first game is also excellent. I was turned off by all the undead enemies initially but once I learned how to sneak near them it was more fun (really this was on a second playthrough). Fighting things in either game is not as fun, and a lot of players feel like they have no choice but to fight the undead in the first game.

Chunking zombies with Holy Water arrows never gets old in Thief 1. Sure beats disabling those cute, helpless robots with water arrows in T2.

There are several ways to deal with zombies other than holy water arrows ; if you really want to kill them, you still should be able to by using other things such as fire arrows, mines, flash bombs, even traps in some places ;)

You just don't do it.
On my second playthrough I did the stealth run - no blackjacking or killing anyone/anything unless it is absolutely necessary (in some places you better do it). And I was playing on Hard or whatever the highest difficulty level (forgot already). I always play on highest levels, love challenge.
It is usually possible to sneak past most of the undead (if not all), as well as most of the guards.
Requires reloading when you did something really stupid and alerted everyone around, though, but reloading never stopped me in any game.

And yes, as Constance said, there are so many ways dealing with undead.

And the atmosphere of the undead missions is so great! When you crouch still in the shadows and a haunt strolls by almost stepping on your toes, the chains are rattling and its sword is ready to stab and you hear "joins usssss, join us now....". That's just GOLD, man! :) The true sneaking experience where a tiny mistake is deadly.

I did a similar thing... on my second playthrough. On the first, it didn't seem like I was able to sneak past the undead. Part of the problem is that it's hard to tell (especially with regular zombies) whether you've been spotted. With guards I could figure out how to sneak effectively, since they would react to glimpsing me, but with zombies I would often feel I was hidden, only to have one suddenly lurch towards me and attack. Plus the undead show up very early in the game, when players are still just learning the ropes. So early on I thought it wasn't even possible to sneak past undead. I thought they could sniff me out or something. Who knows how the undead work in the world of Thief? On mission 2, I certainly didn't. It was only later that I learned it is possible to sneak past them.

Once I knew what I was doing, I had a lot more fun. But I definitely understand those who didn't like all the undead in the first game.

It's fun to "introduce" Zombies and Hammerites to each other, too.

True... too bad the Hammerites can't kill the zombies permanently.

the hammer wielding ones can - they will pound them to chunky giblets.

Really? I never knew that. That's pretty cool. I should try it when I finally get around to playing the first Thief again.

a good place is where the first two hammer guards are having a conversation in Cragscleft - there is a zombie nearby that can be lured to them easily. as long as they spot it first, they should be able to smite it without problems.

I liked thief gold much better than 2. Darker medieval gothic atmosphere. Thief 2 had the steampunk thing going on, which was okay, but I really didn't care for the robots/machines. I thought they were annoying and their sounds got on my nerves. I own Thief 3, but haven't really played it yet. I heard it's different from 1&2, but still pretty decent.

Thief Gold hands down was my favorite. Some of the levels were pretty frightening.

Add me to those who think Thief 1 > Thief 2.

I think that Thief 1 was substantially harder. I thought plot was more interesting, the level design better and the ambiance more engaging. But what I really loved about Thief 1 was that the levels were mostly larger and trickier to navigate. You really could get lost easily in some of them. Thief 2 is a great game too, but to me it is slightly worse in almost every aspect than Thief 1. Both games are amazing so it hardly matters anyway.