Many of the most famous rogues outside of the Warcraft setting have been nuanced and exciting characters. Bilbo Baggins, the Prince of Persia, and James Bond, could all be reimagined as rogues if they had existed in Azeroth instead of their own settings.
As an Alliance rogue, you have a certain amount of freedom to borrow from other settings, or from the real world, since the Alliance races tend to be more similar to heroes of other stories we've heard before. To a certain extent, Blizzard has already based its Alliance rogue guilds on stories from other settings, and left some aspects of these institutions rather vague. There is certainly enough room for roleplayers to fill in a bit of the blanks with their own creative inspiration. The only danger is that it could be easy to overdo it and descending into Mary-Sueism: one ought to feel free to reach for a bit of the flavor of James Bond, for instance, without ever believing your character is the single best secret agent Stormwind could ever have.
SI:7 and all them other roguish humans
The largest intelligence arm of the Alliance seems based in many ways on the fame and popularity of James Bond, actually. Britain famously established 6 sections of its "Directorate of Military Intelligence," with the last, "MI6," being the branch in charge of highly dangerous top secret missions, and of course also being 007's employer.
Nobody knows if there were any branches of the "Directorate of Stormwind Intelligence" numbered 1-6, but we do know that the current Master of SI:7, Matthias Shaw, is the grandson of Pathonia Shaw, who founded SI:7's mommy-organization: the somewhat less creatively named "Stormwind Assassins." Pathonia pathologically instructed Matthias in the roguish arts with the hope that he would grow up to take up her mantle. It appears she succeeded with flying colors, since Matthias not only became a great leader of human rogues, but also renamed the Stormwind Rogue's guild to a much more suitable name -- "Stormwind Assassins" just couldn't have been good for PR.
Stormwind isn't the only place where rogues have found work, though. Ravenholdt is another very significant rogue guild, but its origins and ultimate purposes are much more shrouded in mystery. One thing we know for sure is that they are opposed to the Syndicate -- a Mafia-like organization whose leaders are former nobles of the Alterac region and who will stop at nothing to try and regain their lost lands. Why Ravenholdt and the Syndicate are out for one another's blood isn't clear, but it's safe to say that they've crossed knives a lot in the past and that grudges have built up over time. If you want Ravenholdt to be a big part of your character's story, feel free to try and fill in the holes of the plot here with your own creativity, but not so much so that it limits stories other rogues might want to tell about it.
The Defias Brotherhood is yet another group of human rogues, but, like this Syndicate, this one is directly opposed to Stormwind and the Alliance. It doesn't make much sense that an Alliance rogue could actually side with the Defias, even if he or she felt somewhat sympathetic to their reasons for hating it.
Theoretically, a player-character rogue could be a spy for the Defias (or the Syndicate, or anything else for that matter), except that there would be no way for that player to actually report information to Edwin VanCleef and bring a bunch of Defias thugs to come and take over Stormwind. What's the point of being a spy when the only thing it lets you do is tell people that you're a spy (which is the last thing a spy would actually say anyway)? It's like painting your belly button pink in the hope that someone will lift your shirt up a tad and ask you what in the world is the point of a pink belly button.
Dwarves, Gnomes and the shadows of Ironforge
If you wanted to play a really weird rogue of some sort, then gnomes and dwarves would be the way to go (though Forsaken could do a passable job at the weird rogue role too). Gnomes are perfect for any sort of quaint and silly personality, especially one involving any sort of crazy inventions. Dwarves may have a reputation for being loud and boisterous, but they do love gold, and it stands to reason that some of them will dedicate much of their significant intelligence to getting as much of it as they can, even if that means being quiet for a change.
I didn't find any organized guild of dwarven or gnomish rogues, but there are certain sections of Ironforge which could be focal points of roguish activities. Certain tunnels and corridors may be condemned and/or scheduled for reconstruction, and there may be other sections of the dwarven capital which have been largely forgotten over the centuries. Places like this provide lots of opportunities for minor rogue guilds to group up and hide out. As a gnome or a dwarf, you could either join up with SI:7 in Stormwind, or else form your own smaller counterpart to Ravenholdt.
Night Elves and ... the night?
One could argue that night elves are all rogues somewhere deep inside, on account of their Shadowmeld ability and their love of the night. They naturally prize agility and quick-thinking over brute force, so the skills of a rogue come naturally to them as well. Consequently, night elf society might be one of the only places where a person can openly declare that he is a rogue without everyone around him suddenly getting very suspicious. Rogues just do what night elves do best.
That said, night elf rogues gather in the dark depths under the roots of one of the great trees in Darnassus, so it may well be that they have quite a bit to hide after all. That, or all their sneaking around has made them somewhat disdainful of daylight.
Night elf rogues may choose to join the wardens, who arbitrate night elf justice on behalf of their people, rather like a darker and elfier version of James Bond's MI6. A warden may be tasked with trailing and jailing criminals, or with top-secret impossible missions carried out under the utmost secrecy. Other rogues may work in a special forces unit of the main Sentinel army, or they may just go freelance, as it were, and pick up work wherever it comes along.