The Thieves' Highway is a term for any part of The City where a skilled roof-runner can make use of the tightly-packed rooftops to travel without ever having to touch the ground. According to Garrett in Thief: Deadly Shadows, the best Thieves' Highway is in the Old Quarter.
Another Thieves' Highway is located in the South Quarter. It connects the fountain plaza near Garrett's dwelling and Black Alley.
Garrett may find some loot exploring the Thieves' Highway.