Thursday is a significant day in many religions, such as Hinduism, Judaism and Islam which all consider Thursday an auspicious day for fasting. Thursday morning is also traditionally the day that the Torah is read in public and special penitential prayers are read.
Early Christians were warned not to fast on Thursdays to avoid Judaizing and so for Christians the day of fasting is on Fridays. This is not to say that Thursdays do not hold any special significance in Christianity. The Eastern Orthodox Church dedicates Thursdays to the Apostles and Saint Nicholas, and Thursday is the day of the Last Supper.
For those of you who are Douglas Adams fans, Thursday is the day that the earth is destroyed just after Arthur Dent says "This must be Thursday. I never could get the hang of Thursdays".
Traditionally Thursdays were the market day in most towns in the United Kingdom and so general elections were held on these days. General elections have been on Thursdays since 1935, and local elections are normally held on the first Thursday in May. Some people also say that Thursdays were chosen because it is the day furthest from Friday which makes it a day where most people were sober.
In Australia Thursday is the day for late night shopping and movie openings because Australians usually get paid on Thursdays.