Don't think that you can just attack people at random or rob them blind and get off scot-free. Crimes will increase your Wanted level and mark you as a wanted man. Reach level two or higher and citizens will start to flee in your presence, while soldiers will attack you on sight.
Keep raising your Wanted level and you will lose access to shops as well. Your Wanted level will slowly go down over time, so at least it's not the end of the world. (Even though it already kind of is.)
Shaking someone down allows you to steal from them. Weakening your target by roughing them up a little first will give you a higher chance of succeeding. This is also a good way to get your Wanted level up, so try to do it in moderation.
STEALING
Normally, shaking someone down only lets you steal two items from them, but you can get even more for every "The Shakedown" skill you unlock.
