Thresh Socket is a super unique Blood Bringer and he is found at the very end of the Arreat Plateau, guarding the entrance to the Crystalline Passage. He is not connected to any quests, and need not be killed to advance through the game.
Prior to v1.09, Thresh was randomly spawned somewhere in the Frigid Highlands. During the v1.09 patch, Thresh was a valuable item run, since he spawned with a Demon Imp on his back. Both the Siege Beast and the Imp dropped like a boss, and the Imp could be Horked further for a potential triple drop for a Barbarian. Since v1.10 Thresh spawns without a Demon Imp, and only drops once even if an Imp happens to leap upon him.