If I understand you right, we're basically talking the difference between third-person omniscient and third-person limited writing styles.
Third-person omniscient is the story-teller voice, the 'Little did he know how much he'd regret taking that sweet roll' voice.
Third-person limited is a pretty common style and my personal favorite to read. Third person, but from a point of view. 'He saw a young man holding a sweet roll, thought about it for a second, then pushed the young man down and took his sweet roll. He didn't even feel guilty as he walked away, his face stuffed with the saccharine dough.' The narration follows the thoughts of the viewpoint character.
Biggest thing to keep in mind is that (imo), when narrating like this, you shouldn't switch out of this mode to explain or point out something that the POV character couldn't know. I.E, in the above, you would have a more difficult time illustrating the thief's impending troubles because he stole that sweet roll. You're stuck with his perspective, and unless he's prescient, he would have no idea that it would come back to haunt him.
This can be gotten around by having the POV character find some item or piece of news that he doesn't understand, but that the reader might be able to interpret in some way because they read another POV character's chapter.
In the above story, you could set up that sense of trouble by having another POV character in a previous chapter point out to someone that the young man was actually the Daedric Prince Sheogorath. This way, the reader understands that the thief just stole the wrong sweetroll, but the thief is still left blissfully unaware. (These sorts of inferred connections are the things that delight me as a reader, being told stuff flat-out, not so much).
When you do switch perspectives and therefore narration, it should be after an extended page break or chapter break. Switching perspectives mid-paragraph, or mid-page can be bewildering, and is my least favorite thing in the world to read.