Definitely! Covet is a move learned by only a small number of Pokemon and its considerably better. This is the attack power of both Covet and Thief (confirmed in Sapphire/Ruby and Leaf Green/Fire Red):
- Attack: 40
- Accuracy: 100
This is the difference:
- Covet: 40PP
- Thief: 10PP
You can use Covet four (4) times more that Thief!
Thief is the Technical Machine 46 (TM 46). Which of course has the advantage to teach it to almost any Pokemon that can learn an attack (except Magikarp, Woobuffet and other Pokemon like that).
There are only about 8-10 Pokemon that can learn Covet. To learn more about which Pokemon can learn Covet please check this page.