There are many indications that Dylan was in on the heists beyond his hooded presence at the beginning of the movies.
The first heist he had no interest in the case until the Interpol agent shows up, then he becomes extremely interested in the magicians possibly to keep an eye on her.
The second heist had Dylan shout out the keyword, even though he was a member of the audience and would have known the reaction those audience members would have had to that particular word. Also, Dylan's Keystone Kop routine when Atlas places his own tracker on Dylan. Ten calm seconds would have told Dylan that the tracker was on his person, and yet he spends a good few minutes running around with his re-enforcements behind him trying to catch himself.
A clever clue involving the Dylan's shouting of the keyword: Merritt tells the hypnotized members of the audience to tackle the quarterback. Dylan was the "quarterback" the entire time.
If anyone else had seen the body during Wilder's escape attempt, they probably would have figured out it wasn't him. Dylan ran interference to make sure no one could get a good look at who was driving.
The huge hint is in the chase scene - when Dylan and Wilder drop into the basement down the garbage chute, Dylan is staring at a box with Lionel Shrike's name on. Dylan knows the name from Vargas, and never mentions it to her or anybody else.
Merritt throws us a clue at the beginning of the film when he's reading Dylan, noting that Dylan has "daddy issues". "Daddy issues" is right.
in Act 2, the Horseman begin by asking if they are performing multiple tricks, or one big trick. The Reveal shows that this was the case the entire film - every little trick played was part of the big trick being played... by Dylan
When Dylan discovers the tracker in his pocket, he yells "I was chasing myself!" becomes a lot funnier when it turns out, in searching for the Fifth Horsemen, he was doing exactly that.
The Reveal in the ending. Given the trailers and much of the movie, one can be forgiven for thinking it was a cat-and-mouse caper movie WITH MAGIC. The big reveal, however, was not that Rhodes was the mastermind behind the heists, even though he was. Rather, the real reveal is that this movie is not about heists but rather about revenge over the death of Dylan's father. Think about it: Thaddeus and FBI kept thinking that the magicians were after money (therefore, the viewers as well too). Why? Because Thaddeus himself was all about money and greed. In truth, there was no heist at all, and never was going to be a last big hit. All the magicians ended up with zero financial gain. Zero. And that's why Thaddeus still could not figure out Dylan's trick in the end; because Thaddeus was still thinking it was all about money. By using money as one big distraction, Dylan tricked Thaddeus and the latter will never figure it out.
This makes even more sense when you think about the first trick we see; a card trick involving the 7 of Diamonds. In the Minor Arcana, the Pentacles (Diamonds) represents material wealth.
This also adds another level to the film; The 7 of Pentacles represents reaching a new level, or (if predicting the future) that a future success is on its way.
Not quite zero financial gain - for at least the first two shows (Las Vegas and New Orleans), they're presumably still getting paid for performing. And if it took them a year to reach headlining in Vegas status, they would have done a lot of other shows in that time as well.
Dylan's ultimate revenge isn't just to imprison Thaddeus. It was to leave him with the one thing that would hurt him more than anything; a magic trick he couldn't debunk.
Also Dylan on the plane: The first version of the card trick that Alma, the Interpol agent performs. Dylan's card ends up on the guy's lap and he says "Nice shuffle." He actually pulled a trick in front of her and put the card in the guy's lap. What are the odds that his card actually ended up in that guy's lap on her first card trick try because of her shuffle? Low. As a real magician, he couldn't resist messing with her simple trick in a way that wouldn't draw attention to himself.
So you think Thaddeus Bradley didn't deserve what he got in the end? Remember: He wasn't targeted or tricked into getting involved with the heists like Tressler and the other marks. He inserted himself into the Horsemen's first show and is given repeated chances to give up his Doing In the Wizard act, but keeps pursing the Horsemen because he wants the ego boost. In the end, the only reason they could plant the money on him was because he chased them. He was literally done in by his own arrogance.
The FBI did seek his help. Given what we know about Dylan, it wasn't entirely self-directed. He was at least lured into it by the mastermind. His appearance at their first act was nothing more than Bradley doing his actual job.
Thaddeus said The Eye "makes any magician's wish come true." Dylan is a part of the Eye - as the Horseman's test of worth, his one wish comes true, that the people who caused or profited his father's death pay for their crimes.
These heists and tricks would have taken a lot of resources to pull off: manpower, time, money, property, construction. Originally, all signs point to Tressler being the financial backer, but that's revealed to not be the case. Ultimately, I can't buy that Dylan did it all on a Fed's salary.
Maybe he's been saving since he was a kid? It would point to him being like his dad, and he has had plenty of time to save up if that's the case.
I always thought that The Eye has been supporting Dylan since he lost his dad, as a favor to one of their members and, as Dylan said, to punish people like Bradley. Since it's a super secret exclusive organization of magic, I reckon that they're pretty wealthy.
There's a sensible explanation; they just never say it in the movie - it's quite possible that the Four Horsemen bought all of the resources needed while still working for Tressler - they just didn't tell him what the materials were for beyond "our magic show" (which would be technically true). Tressler is the one who bankrolls the entire caper; he's just tricked into it, which makes perfect sense given who he's dealing with.