Similar to bookmarking a webpage, designating a thread as a Favorite allows you to more easily follow a thread or forum on an ongoing basis.
To designate a thread as a Favorite, click the "More" button in the top right corner of the first post. Select "Add this post as a favorite". You can also designate an entire Forum as a favorite using the same menu.
You can see all of your Favorites by visiting your Home Page. Your favorites will be listed in the bottom of the left column under your avatar.
Only three favorites will be displayed at a time, if more than three threads are designated they will be shown on a rotating basis.
If you wish to remove a thread or Forum from your Favorites, click the "More" button at the top right corner of a thread and select to "Remove this post from favorites".