In Sicilian the word mafia first means something like cool, somebody with aanziem(dont know the English word), a respected man.
A mafioso is someone who doesnt go to the police but take care himself of his problems.
In 1863 the Opera I Mafiusi di la Viciari (Viciari is a prison) give it a criminal meaning (Look at the post of MMFloors).

And of course there are a lot of other theories. Very much!!