Tafferwocky: That's a good list of FMs. Let me add a few more.
The Circle of Stone and Shadow 1 and 2: Gathering at the Inn is a fun little mission, but its sequel (Mission X) is a masterpiece of complexity and scale. Beware of its difficulty though. There was meant to be a 3rd Mission, but it was never finished.
Classic TDP-inspired City Missions in the vein of 'Endless Rain':
Bad Debts
Disorientation
Shadow Politics
Between these dark walls
(The last 2 are for Thief 1, not 2)
Fables of The Penitent Thief: far from your typical Thief Mission and great if you want something more lighthearted.
The Greyfeather Gems 1 + 2: 1st one is a good, normal city mission but 2nd is an amazing FM set in an abandoned town. A bit like The Haunted Cathedral but without the undead. Another unfinished series :(
The Seventh Crystal: Mansion mission with a twist (which is a whole sub-genre of FMs). Yet another cliff-hanger ending with no follow up, sadly.
The Inverted Manse: The first, and arguably still one of the best, FM to nail atmospheric horror. Done by the guy who later designed the Cradle in Thief 3 if I'm not mistaken.
A note on Broken Triad. This mission is a sequel to Ominous Bequest Gold, so I'd advise you to play that first.
So there's plenty to do once you've finished the main games! I'd recommend you start with the expansion, T2x before trying these (unless you're completely Thiefed out by that point!).
Don't think I've tried, or even heard of, the Greyfeather Gems, I'll make sure to give them a try. Thanks for the recommendation.