If you're using C/C++, try to use the thread functions of the C/C++ runtime.
If you use the Win32 (or other non-CRT functions to create threads) the CRT might not be initialized correctly in the new thread, causing all kinds of problem (you can read about it here: http://www.codeguru.com/forum/archive/index.php/t-371305.html).
However, most thread-functions (in the CRT, Win32 or pthread) are all based around the functionality to create threads, synchronize threads and destroy threads. In practice this isn't always that easy to use.
In the last year, there is a trend to go to task-based threading (well, I call it that way, I don't know what the official name is). Instead of starting a thread and then executing some logic in it, in task-based threading you create a task and then ask the 'threading logic' to execute the task.
Systems that support this new way of working with threads are:
- Visual Studio 2010 (we'll have to wait a few days for it)
- Intel Threading Building Blocks
Visual Studio 2010 even has (it seems) special debugging logic to debug the 'parallel tasks'.