Rogues are much like Assassins when they are first upgraded to this form. For example, they both use the same weapons and have the same stat caps. Rogues have a smaller constitution than Assassins, less HP, and lower skill.
Rogues, like the other versions of the Thief class exceed in their high Speed. Although they usually have somewhat mediocre Defense and Resistance they often dodge enough enemy attacks to make up for that. Rogues are not usually used as exclusive combat units because they usually have relatively low Strength Caps, despite their impressive Strength growths, and also their lower defensive stats come into play.
Assassins usually perform better as strictly combat units because of their better promotion bonuses and because of their skill, Lethality.
Also, Rogues have different skills. In Fire Emblem: The Sacred Stones, Rogues are the only units that can open Doors and Treasure Chests without the use of a Lockpick item (which Thieves and Assassins use) or a Key. This ability was later eliminated though as in the later games all Thieves and promoted Thieves could open doors and chests without the use of any items.
Being the promoted version of the Thief, the Rogue can not be promoted any further. The exception for this is in Fire Emblem: Radiant Dawn. In Radiant Dawn, both Sothe and Heather (who are Rogues) can be promoted to the Whisper class, the 3rd Tier class of a Thief (and the promotion of a Rogue).