what is the funniest story involving a rogue you can think of? (stealth fails, stealing things they shouldn't have, etc.)

True story: I was playing a pickup game at my local game store some time ago. I was a Lawful Neutral dwarven cleric. The other three players had all, independently, created Chaotic Neutral rogues. I was afraid we were in for some trouble, and it turned out I was right.

At some point, we stopped for a rest at a temple with a holy relic on the altar guarded by a little Gazer who was adamant about no one coming too close. Guess who decided to steal it.

The Gazer attacked and the three rogues fought back, surprisingly ineffectively. Trying to resolve the situation, I dropped a fog cloud (tempest domain), and shouted “fly, you fools!” They didn’t, and proceeded to kill the Gazer. Now, the theft my character could deal with, but this? I warned them to put the relic back, and when they refused, cast Thunderwave.

Boom. A couple of the already injured Rogues went down, and the last one was soon finished by my dwarven warhammer.

A few Spare the Dying casts later, they were all stabilized and removed from the area, while the relic was restored. We never picked up that game again. I’ve had some great experiences with LGS games, but that was not one of them.

My first character, a half-orc rogue named Ortan Fang, decided to go into a mini-dungeon solo after the party split up. One floor of snakes later, and I had to roll up my next character, also a rogue.

But the funnier story is the backstory of that second character. They were an elf from a noble family, and they ran away from their life of riches to join the emerald enclave. What happened next in a dungeon he never explained, but in his words "look, how was I supposed to know where the portal went when I dropped my daggers in it". His emerald enclave party died as a result, and then he came to join the player's party.

The Rogue I'm DMing for decides to open a rather old looking door quietly... succeeds, no problem and he looks in to see about 30 cultists. Rogue says screw that and decides to shut the door... I ask him if he's shutting the door quietly or just normally... he says quietly... he rolls a nat 1... he slams the OLD LOOKING DOOR closed... and well... let's just say the door isn't very structurally sound and collapses forward, alerting the entire room the presence of the rogue and the party behind him... no one died.

Very early in our campaign our rogue wanted to run ahead, hide, and then surprise attack anything and everything.

We were crossing a bog when we found a broken cart and a few items strewn about.  We started to fan out and search for more clues.  A VERY large snake head popped up next to our rogue who was attempting to sneak and hide as he went around looking for things, and he immediately drew two short swords and stabbed the "snake head".  He hit!  He did pretty good damage.  And then four more snake heads popped up all around him.  It was the surprise round of our fight with a hydra.  After he hit the hydra's head, he hadn't finished his turn.  He began to say, "And then I ..." after the DM announced the other four heads pop up out of the muck, and I finished the sentence, "... change my underwear."

I was DMing in an adventures league game with my friend playing as the rogue dwarf Dimitri Gorbanjeskov, an obviously russian dwarf (in a setting with no Russia-analogue) who spoke in the thicked accent you could imagine and insisted to anyone asking that "I'm from motherland." He had to leave the game early, so I made up some bullshit about him falling into a portal that opened and closed too quickly for the others to do anything.

After that, Dimitri has become a running gag in the campaigns we've DM'ed since. Dimitri, the tattoo artist who co-owns a tavern along with the gay halfling cleric (my old PC) and speaks in a thick accent no one can quite place.

My brother once played a Swashbuckler rogue for our ToA group.  The DM couldn’t hit him!  Not through all of Chult, not through all of the Tomb, could he hit Swashbuckler more than once or twice per combat.  It wasn’t because Swashbuckler was OP; my brother is just a very clever strategist.  It became a running joke, as we dragged ourselves closer to the BBEG, that the rogue got away virtually unscathed— every time!  The DM tried everything he could think of: grappling, stunning, poisoning, etc., and just couldn’t get him down.

We finally got to the BBEG.  Very first round, very first initiative, Dm unleashes Power Word Kill on him.  Swashbuckler died instantly!  We all laughed until we cried,

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what is the funniest story involving a rogue you can think of? (stealth fails, stealing things they shouldn't have, etc.)

 
the Tabaxi swashbuckler rogue in our group, after we were escorted out and kicked out of a city. Thought he could walk behind a tree. 15 feet away from the guards who just escorted us out. Use his disguise kit to put powder in his fur and change clothes. And try and sneak back in. By walking right past the same 2 guards. 

yes. “dust on the road” Tabaxi swashbuckler actually tried this.

The eladrin rogue rolled a nat 1 for stealth. I described how he looked around suspiciously and tip-toed towards his goal accidentally dropping one of his daggers and clattering it on the ground. Fortunately, there was no one to hide from.

In the mountains, rocky area, in front of us, about 100m away and slightly lower, a seemingly abandoned monastery.
I (Wood Elf Rogue Lvl 2) try to carefully and quietly stalk the walls: Nat 1.
Kicked off an avalanche, got carried away, almost got killed by the avalanche and alerted enemies in the monastery.

Nat 1 stealth roll peaking into a villains' chamber to try and scope it out pre boss fight and getting a power word: kill to my face for my trouble lol. (The paladin got me up a few turns later with a revivify.)