Actually, Sly Cooper games have genuinely good, engaging, well thought out and certainly beautifully presented heist stories. Nothing ground-breaking, or anything you haven't already seen in any number of heist movies (or perhaps more fittingly, read in a good heist cartoon), but they offer very good emulations of these stories, in an easy to digest comic package. To use this god forsaken example one more time, it's a bit like how Bungie brought together sci-fi influences and crafted something engaging for Halo 1.
This is in all seriousness one of the primary reasons I'm excited about Infamous; these guys are genuinely good at crafting fun storylines, with great characters.