I’ve been tinkering with my first “real” blender scene for a while now … it all started with doing a head model and evolved into this burglar theme. It’s more or less what I had in mind, but could be more, well, interesting. Maybe I’ve just been looking at it for too long 
Any suggestions for improvement?
the shadows and lighting seem off. Check out this BSOD exercise from the wiki. mid way through they setup a flashlight (electric torch) scene that has the lighting I think you are going for.
http://wiki.blender.org/index.php/BSoD/Introduction_to_Lighting/Exercises
Keep Blending!
this is cool, the theme is different and i like it.
the lightning on the statue is nice gives the impression of moonlight falling through a courtain.
there are just a few little things i would change.
maybe you could apply a marble texture to the head, so that it looks like a statue even more. furthermore i would reduce the reflectivity of the glove a bit, to give it a leather look.
right now it looks like a rubber or latex glove.
the spotlight on the key looks nice and could be the thiefs flashlight but if you want it to glow by itself you should try the radiosity option.
i never used it so i cant tell how they work but i think it could give a nice effect.
i found a video tut on radiosity its quite interesting and entertaining so you might want to check it out
Thinking about it, the points you guys mention are pretty much exactly the ones that I also wasn’t feeling all that comfortable with… thanks for the input!