Stay behind your minions: Thresh's hook is blocked by units, unlike some other hooks.

Don't forget you can click on his Lantern to block it — you can stand on it to prevent Thresh's allies from taking it.

Punish him when he steps forward for a Flay auto-attack: Thresh is melee and vulnerable when he tries to proc his E passive.

His hook has a visible windup (he pulls his arm back) — use that moment to side-step.