1 burglar - someone who breaks into your house or apartment to steal something
2 thief - someone who steals from you, for example, you are seating in an outdoor cafe, you put your camera on the table, a man walks by and takes your camera. He is a thief. A pickpocket is a particular type of thief
3 robber - someone who threatens you with violence with a gun, knife, or hits or kicks you, in order to steal something. for a bank, we say a bank robber, since they usually have a gun