When you enter your kingdom, Lord, remember me.
Because we are so used to understanding the kingdom of God in a spiritual sense, I think we miss the import of the confession of the thief on the cross. His understanding of the kingdom would have been no different than that of the rest of the Jews of the day, the disciples included: they expected the Messiah to take up arms, drive out the Romans, and establish an earthly kingdom.
With that in mind, the thief's confession is much more powerful. You can almost hear the other thief taunting him: “Don't you get it? There isn't going to be any kingdom! Your Messiah is being executed, just like your last 20 messiahs.” Despite all this – despite the fact that his Messiah was dying – the thief on the cross makes the ultimate confession of faith: “I know you are the Messiah, and you will inaugurate the kingdom of God on earth.” He didn't know how that was going to happen. It seemed the most unlikely thing in the world at the time. But God's ways are not our ways, and His thoughts are not our thoughts.
This is precisely why God demands faith of us. He is our Father, and He ought to be trusted and obeyed for that very reason alone. It demeans His authority for us to require that He give us an explanation, just as it would demean the authority of an earthly father for his son to demand an explanation for why he should not play in the street in order to determine whether or not it was worth obeying.
Update: I should also mention that the faith God expects of us is faith in Himself and His words, not faith in a particular interpretation of those words. The thief on the cross had faith that Jesus was the messiah and that he would establish the kingdom of God, not that He would do so in a particular way at a particular time. This is important, because interpretations can be and often are wrong. The Jews got the messianic prophecies fantastically wrong because it was difficult or impossible to get them right except in retrospect.
A sense of modesty and an emphasis on the fact that faith in scripture and the God of scripture is not the same as faith in an interpretation of scripture would go a long way toward toning down the many overly dogmatic interpretations of (for example) the apocalyptic books. It does no violence to inspiration to admit that some portions of Daniel and Revelation are really bizzare, and that their proper interpretation is anything but straightforward.