Hey, That's Mine!

A favorite trick of the Phantom Thief, Impossible Thief or an illusionist.

While talking to someone, this character will suddenly produce a small item. The other party slowly realizes that it's something he was carrying in his pocket just a moment ago, and quickly checks... but of course it's not there—the thief has stolen it, unnoticed by the victim (and the audience).

Examples of Hey, That's Mine! include:

Anime and Manga

When trying to negotiate with Lucia in Rave Master, Shuda offers him the 'Vampire' Sinclaire stone in exchange for Haru's life. While Lucia considers the deal, Haru's gang demands to know when Shuda swiped the stone from them.

Comics

Happens all the time in the Lucky Luke album Fingers with the title character, a kleptomaniac illusionist. Fingers would randomly give back Luke his colt, a jailer his prison keys, or a judge his spouse's medallion, while talking to them. Toward the end, Lucky Luke return the compliment by giving back his wallet to Fingers.

Literature

Roald Dahl's story "The Hitch-hiker" concerns the titular character, whom the driver discovers to be a fingersmith (a step above a pickpocket). Naturally, this trope occurs.
In Raiders of Gor, Bosk (a.k.a. Tarl) picks up a girl who was sentenced to slavery for thieving. She puts on a demonstration for him and his men like this.
Kender from the Dragonlance books do this all the time. They don't quite understand why it ticks people off.

Live-Action TV

Subverted in an episode of JAG. Harm is talking to a guy who specializes in clandestine operations, and at some point, the guy holds up Harm's wallet, criticizing him for letting the guy steal it, pointing out that he could use the ID contained within to allow him access onto the base. Harm then tells him to open the wallet, revealing that the ID card holder inside contains only a note saying "Arrest Me".
There's an episode of Bones which involves the investigation of a bunch of street performers. One interviewee does this several times throughout the conversation, much to Bones' amusement and Booth's annoyance.
Parker from Leverage does this a lot; particularly notable is "The Twelve-Step Job", where she goes undercover in a rehab center, is prescribed antidepressants, and starts doing it unconsciously.
- It's also how she met her master-thief mentor when she was 12.
In an episode of Doctor Who, Romana steals the Fourth Doctor's Jelly Babies off-screen. When he asks where she got them, she replies "The same place you do. Your pocket."
In The Wild Wild West episode "The Night of the Fugitive", Artie joins the Big Bad‍'‍s group by lifting his stickpin, pocket watch, and wallet, then giving them back to him. The watch and wallet were in different pockets, and the stickpin was in full view holding down the Big Bad's cravat.

Real Life

David Blaine, a street magician, does this by distracting the audience with a routine card trick, then drawing attention to their missing watch.