On your flight to Thailand, you will get an arrival card that you must complete and hand over with your passport to the immigration at arrival. The arrival card is in two parts, one part is for entry and this part the immigration officer will keep. The second part will get an entry stamp, and you get that part back together with your passport.
Take care of the arrival card, as you will have to hand it over to immigration when you are leaving Thailand. You may also have to present it together with your passport while you are in Thailand. Usually, immigration will staple it into your passport.
You must fill out the arrival card with information about your name, date of birth, nationality, passport number, flight number, etc.
You will also need to disclose your address in Thailand. You do not have to write down the name and address of your hotel, the name of the city will usually do fine. If you are travelling around in Thailand, just type the name of the first city you visit.
You must also state your occupation, and what city you live in. Please note that you must write nationality, occupation and city names in English (Thai is also acceptable). You can see all the fields of the form in the image below; click it for a larger version. The article continues below the image.