What makes the Stolen Items any different from ye ol' normal items? I don't understand.

Some items are marked as stolen. If all is well, you will only get to posess these through stealing. An exception is the Pennhold staff in the campaign, and perhaps some other items too.
Stolen items are usually sold for less than regular items of their kind, and some stores refuse them altogether.
The point of having stolen items is that it adds some more background for those with skills like pickpocket (and occasionally open lock too).
In the editor, you can mark any item as 'stolen', and tell stores if they should buy the items, and at what percentage of the price.

<font color=skyblue>I did not know that! I had been wondering the same thing. Thanks for clearing that up, Legolas!</font>

You're welcome ;)