While both are considered to be tricksters they're covering different spheres and influences.

Baan Dar is worshipped by both Bosmer and Khajiit. It's the deity of peddlers, traders, homeless, thieves, etc. but he's not really a thief and he's not teaching about stealing (although this might be up for debate). Baan Dar's teachings can be boiled down to a simple rule: Everything should serve a purpose and be of use. If you want to use something in the future and you need it, make sure it can't be stolen. If something can be stolen (e.g. by just sitting on a bench or not being nailed to the ground) the owner obviously doesn't care enough and it should be repossessed by someone who actually values it. In short: Baan Dar is the god that outsmarts others with words.

Rajhin on the other hand is a pure Khajiit figure (and he's been an actual Khajiit). I always interpreted him as your actual/typical trickster or thief, stealing stuff just for fun or his own gains (or to actually help others). I'd even go as far as claiming that he's in some situations a Robin Hood or Jack Sparrow like character. He's cunning, but he's also primarily relying on his physical skills rather than talking.

There are obviously things fitting for both gods, such as stealing, pickpocketing, etc.