Yeah, they contain some EXIF data which as near as I can tell is duplicated in the CRW. If I remove the THMs from a folder ZoomBrowser can still find EXIF information.
This is a sample of the EXIF data in a THM (I renamed it to JPG so my EXIF utility could open it)
Filename : CRW_5175.jpg
JFIF_APP1 : Exif
Main Infomation
Make : Canon
Model : Canon EOS DIGITAL REBEL
Orientation : bottom
XResolution : 180/1
YResolution : 180/1
ResolutionUnit : Inch
DateTime : 2005:01:05 21:47:57
YCbCrPositioning : centered
WhitePoint : 313/1000,329/1000
PrimaryChromaticities : 64/100,33/100,21/100,71/100,15/100,6/100
YCbCrCoefficients : 299/1000,587/1000,114/1000
ExifInfoOffset : 320
Sub Information
ExposureTime : 3.00Sec
FNumber : F6.3
ISOSpeedRatings : 200
ExifVersion : 0221
DateTimeOriginal : 2005:01:05 21:47:57
DateTimeDigitized : 2005:01:05 21:47:57
ComponentConfiguration : YCbCr
CompressedBitsPerPixel : 9/1 (bit/pixel)
ShutterSpeedValue : 0.00Sec
ApertureValue : F6.3
ExposureBiasValue : EV0.0
MaxApertureValue : F1.8
MeteringMode : Average
Flash : Not fired
FocalLength : 50.00(mm)
MakerNote :
UserComment :
FlashPixVersion : 0100
ColorSpace : Uncalibrated
ExifImageWidth : 160
ExifImageHeight : 120
ExifInteroperabilityOffset : 2510
FocalPlaneXResolution : 3072000/892
FocalPlaneYResolution : 2048000/595
FocalPlaneResolutionUnit : Meter
SensingMethod : OneChipColorArea sensor
FileSource : DSC
Unknown (A401)3,1 : 0
Unknown (A402)3,1 : 1
Unknown (A403)3,1 : 0
Unknown (A406)3,1 : 0
Unknown (A500)5,1 : 22/10
ExifR98
ExifR : THM
Version : 0100
Unknown (4097) : 3072
Unknown (4098) : 2048