A Thrall is a bound servant in ironborn culture. They are people kidnapped during raids and forced to toil at tasks such as agriculture and mining, which the ironborn despise. Like Salt wives, they have a low status in ironborn society.
In the books
A thrall isn't quite the same thing as a slave, as even the ironborn raiders don't believe in "slavery" as such. Thralls are captured in raids, by "paying the iron price", but cannot be bought or sold like animals. The ironborn generally look down on selling slaves, as they still think of their captives as human beings, albeit on the bottom rung of society. Thralls are more like "prisoners of war". The children of a thrall may become free so long as they convert to the religion of the Drowned God.
The soil of the Iron Islands is very poor, and many minor lords cannot afford draft animals like horses or oxen, and thus their thralls and smallfolk have to pull their plows themselves. The only appreciable natural resource the Iron Islands possess on land is iron mines (of course), which produce only modest amounts of ore, typically from backbreaking mining by thralls. Only the largest island, Great Wyk, possesses plentiful enough iron mines that its ruling Houses gain more wealth from the land than from the sea.
Aegon I Targaryen put an end to the ironborn taking thralls from Westeros itself, but it is tacitly acknowledged that they still take thralls from further afield, i.e. by raiding the ships and coasts of the Free Cities and Slaver's Bay.