This is a question that is frequently that is frequently asked, especially by new D30 owners (and, I guess, anyone with a Canon digicam that can shoot raw format). There doesn't seem to be anything in the standard documentation explaining the rationale for the two files, and the execrable ZoomBrowser actually deletes the THM at some point.
Chris Breeze, the developer of the must-have (for PC users anyway) utility, BreezeBrowser, says emphatically, "yes, keep THMs" and offered these reasons for users of BreezeBrowser to archive the THM file as well as the CRW file. Some of them, at least, may apply to those of you who are using other software to convert their raw image files:
The thumbnail generator is faster, if you keep the THM's. THM's are used to generate the small and large thumbnail images and this is much faster than generating them from the larger JPEG embedded in the CRW file. (Extra large thumbnails are larger than the THM image and use the embedded JPEG).
EXIF data stored in converted JPEGs and TIFF's is more accurate if you keep the THM's. This is because THM's contain the full EXIF data including the undocumented Canon MakerNote and this is simply copied to the converted file. If you don't keep the THM's the EXIF data has to be generated from the CIFF data held in the CRW file and this is less accurate. Don't believe what other people may claim, the Canon MakerNote has not been fully decoded (outside of Canon) and so the only way to guarantee the accuracy of the EXIF data is to copy it from the THM file.
You can't write IPTC data to raw files if the THM's are not present. Since the THM file is really a JPEG file with a different extension it is used to store the IPTC data. The CRW file is a proprietary format which has no provision for storing IPTC data.
(Taken from a post by Chris Breeze to the BreezeBrowser Support Forum)