Okay, you steal something, valuable from someone important and you're set for life, right?

Wrong.
For a good example, if you steal the Grand Soul Gem for Galbedir, in the Balmora Mage's Guild, you won't be able to sell her ANYTHING. She will claim it belongs to her, no matter how obscure the item.

To get this Soul Gem for A LOT less, simply do Mage's Guild Missions, and makes good friend, she can sell you the Soul Gem for as low as 20,000.