the *.THM file can be viewed using the viewer bundled together with ur cam. other than wat was mentioned, it really has no purpose. IMO, its just taking up precious storage space.
if u like me using the 300D, u can try hacking it so dat u can change the size of the THM file. by default, its medium fine jpg. i hacked it to give me small normal jpg. gives me abt 30-40 shots more on my 1GB CF card.