The best situation I ever did this in, me and another PC were attempting to steal an item from a guarded storage facility in a city where about half of the buildings are floating. (Pathfinder). I purchased a few items 'heavy crossbow, lock pick, rope, two scrolls of feather fall) pretty mundane stuff, but never told the GM what it was all for.
So we're all set up, and thats when the GM watches as I start off with the first part of the plan; Me and the other guy use feather fall to jump onto the roof of the building below.
Since everything else is heavy, I leave the crossbow and rope on the roof as we sneak inside. We do this during a shift-change (because of those gather-information checks) and make it down to the vault without detection. A few open-lock skill checks later, and we are in, manage to secure the item.
That's when a few golems activate, and we hear the guards coming rushing towards us. I bolt up the stairs, and try to retain stealth, the other guy thinks this is a combat encounter (I tell him to come with me, but he refuses) and starts a fight.
I don't wait around to see what happens. So I tell him that I'll get the item out of here and he can distract them. So I run back to the roof while my companion provides a distraction. When he realizes he's outmatched (we were two low level guys, it was a CR 5 encounter), he decides to try and escape out the front door. He makes out the front door, and I tie the rope to a crossbow bolt, shoot it into one of the nearby floating buildings and swing to safety.
We both survive, but now the city guard know his face. Job mostly well done.