The Thenn are a clan of Free Folk, from very far north of the Wall.
The Thenn now march in the army of King-Beyond-the-Wall, Mance Rayder, who has united all of the different wildling clans to assault the Wall and force their passage to the south. Mance points out that the Thenns hate the Hornfoots.
In the books
In the A Song of Ice and Fire novels, the Thenn are tribe of wildlings established in an eponymous valley on the northern end of the Frostfangs. The valley of Thenn is hidden deep within the northern Frostfangs, roughly three times as far north as the Fist of the First Men is from the Wall, but ironically it is one of the most fertile and hospitable areas north of the Wall. The entire valley is heated by volcanic activity, somewhat like real-life Iceland, giving it a far warmer climate than surrounding lands.
The Thenn are the most culturally sophisticated of the Free Folk. They speak the Old Tongue and consider themselves the last of the First Men. Indeed, their culture and technology level is very close to what the First Men were like centuries ago, before the coming of the Andals. Unlike other tribes of wildlings, the Thenn do have lords, who enforce established laws, making them the most disciplined and obedient of the Free Folk. They are led by a "Magnar", a word which means "Lord" in the Old Tongue, whom they consider more a god than a man. The valley of Thenn, therefore, is an odd island of fertile land and relative civilization in the far northern depths of the lands beyond the Wall.
Also, they are the only wildling group that has any knowledge of metallurgy, as they know how to forge weapons and even armor out of bronze. Such weapons were supplanted south of the Wall six thousand years ago when the Andal Invasion introduced iron weapons to the continent. However, most of the wildlings have no knowledge of how to forge metal at all, and commonly use simple weapons made of only stone, bone, or sharpened wood. Many of the other wildlings still manage to obtain iron weapons by trading with smugglers from the Seven Kingdoms in exchange for furs and other resources, but this is not a consistent method for arming and equipping an entire army. In contrast, the Thenn are well-disciplined, commanded by their own lords, and are all uniformly armed with bronze weapons and armor. Thus the Thenn are one of the toughest wildling groups that the Night's Watch has to face, even though (and perhaps because) they are the most culturally advanced of the wildlings.
- Thenn at A Wiki of ice and Fire (MAJOR spoilers from the books)