Interested in trying this one, amount of replies unknown.
Fantasy/Medieval

Thenias Yanterio is a very famous thief. Everyone knows him, but no one has ever been able to come close to catching him, nor have most people seen him.
You, a knight, always thought this famous thief was a myth, since everyone's description was different and no one had ever come close to catching him. Then your stuff started vanishing just a few things at a time while you were out during the day, so you set a trap.
You get home and the trap had worked, but there was no one there. Only a note.