I wanted a way to name threads to make it easier to debug, but since I'm still using Delphi 6 for the next month or so, I don't have access to the named thread object wizard in the Delphi IDE (as can be found in Delphi 2005). The code that is generated in Delphi 2005 when adding a named thread uses the technique found here:
MSDN article on naming threads

There are some other options, too. See this Google thread for a link to a CodeCentral entry and a technique for making setting the name more flexible.