I loved Return of the Thief too, for all the reasons you mention, except that my reading experience was the exact opposite of yours: I only read the Thief for the first time a year ago, and then read all of the others in order without having to wait. It was quite a wild ride, and I'm really looking forward to my (eventual) re-read, since I know there will be so much that will jump out at me. Costis and Kamet are also big favourites of mine, to the point where I wound up writing a fic for them when I should have been working on something else. Oops. A few months ago, MWT posted a snippet of what appeared to be a short story that seemed likely to feature Kamet and/or Costis, so there may yet be a little more canon to come for them. I have my fingers crossed, anyway!

Also: those early Discworld novels are really interesting in terms of what came later. I remember trying to read the Colour of Magic back in the 80s, and it never worked for me, so I gave up on Pratchett. Then, years later, a friend convinced me to start with the city watch novels, and I realised that he'd really gone on a journey as a writer.