I am a firm believer that ignite wins bot lanes. Thresh does a deceptive amount of damage at level 6, and ignite will cut that pesky ADC's heal, and usually lead to a snowballing bot lane. Flash is necessary on Thresh for playmaking, escapes, and is the best summoner spell in the game for him.

Thresh can go relic shield in any matchup. People are often intimidated with last hitting with him, but the flay passive makes it easy, which is why I recommend starting E on Thresh.

You should decide on your first back if mobility boots or sightstone is more important. Sightstone is by far the safe start and I recommend for anyone learning Thresh. That being said, if mobility boots can snowball mid, top, or jungle they are often worth the first buy.

The biggest decision for Thresh is which gold income item to finish. While I firmly believe you should start off with relic shield, what you finish with is different. Finish Face of the Mountain if you're consistently scrapping with the enemy laners and you need the additional stacks and shield for fighting. FotM scales decently and can save people late game, especially if paired with Mikael's Crucible. If you go FotM, you can always complete Righteous Glory for an engage item. Sell relic shield and buy Talisman if you need the hard engage early, or if you're snowballing. Talisman is amazing for grouping early to mid and retreating after a tower take in mid lane.

As for big ticket items, Thresh is sort of a "give me all the actives" sort of champ. Any support item is situational, and it's hard to teach. If you're playing versus Point and click CC, get mikael's early. If you need teamwide magic resist, get locket. You get the point. The only big ticket item I buy in almost every game is Frozen Heart. The CDR, mana, and armor are amazingly cost efficient, and considering the aura is always on as well, the item is everything I want. The only exception would be if the enemy team has no serious AD threat. (AP top/jungle/mid and Corki/Kog'Maw adc)

Thresh's lane is completely based around the adc. Thresh's kit works best at enhancing the adc's strength. For example, Thresh can play extremely aggressive with Draven, Graves, or Kalista. However, he can play safe and use all of his abilities to escape when playing with Kog'maw, Vayne, or anyone if you fall behind. Keep in mind, Thresh's early game scrapping is great, but if you take minion aggro you will lose the trade. You have low base stats, so once your CDs are down, it's wise to disengage the trade before you lose it.

Hitting hooks is essential to crushing the enemy lane, but keep in mind you can go even in lane if you just play safe. Flay is sometimes a difficult ability to use, and if you miss it, it can hurt.

Thresh has amazing auto attack harass in lane. If you approach your caster minions when the enemy comes up to last hit, you can usually get a 100+ damage auto off if your passive is charged. Doing this 5 or 6 times throughout the first 5 minutes can often force a pot and give you massive lane control without hitting a skill shot.

Knowing when to play safe and when to go aggressive is everything to Thresh's laning phase. Keep in mind that even though you are a play making support, you really don't NEED to turn on until mid to late game.

Thresh's pick potential is off the charts. The most important thing about going for picks is establishing vision control. Pick wards are better to have than parts of other items, and upgraded sweeper should take priority over all items when hitting level 9. If you set up vision control and land a hook on the enemy adc or apc, the fight is often won since you can follow it up with a Flay and a wall of The Box right to the face. (afterall, the ability is called "Death Sentence")
If you're sieging on Thresh, it's better to play safe and not fish for hooks that would lead to bad tower dives. Despite having tanky items, thresh doesn't get armor per level, so a lot of the time you really aren't a great tower tanker until the hyper late game. Keep in mind that you can pick the enemy adc or apc without reactivating Q if your team is willing to burst the out of position enemy. Stay safe, peel for the adc, and remember that if the enemy isn't getting burst, don't take the Thresh Express to a death timer.