There are different ways of forming, cutting or otherwise inserting a thread into a part or component.

Thread Cutting

Material is removed to produce the thread.
This can be achieved via taps & threading dies, single point cutting on a lathe or thread-milling on a CNC
Taps & threading dies come in through-hole and blind hole variants.

Thread Forming

Similar to taps & threading dies, but this process just moves and compresses material instead of removing it, resulting in stronger threads in the right material.

Nuts

Nuts are probably the easiest way to add threads to a part. They capture a bolt/screw and sandwich material in between.
There are – again – different types of nuts.

Hex-Nut DIN934

bread and butter

Square Nut DIN557

useful for 3D Printing

Cap Nut (Hutmutter) DIN1587

Lock Nut DIN985

doesn't loosen through vibration

Inserts

Wood inserts (Muffen)

Thread-In inserts (Rampa-Muffen) can be inserted into wood to provide a strong, disassembleable connection
Claw Nuts (Einschlagmuttern) provide an easy way to add threads to wood, keeping the direction of force in mind

Injection molding inserts

mostly brass inserts embedded into industrial plastic parts

3D Printing inserts

Injection molding inserts engineered to be inserted into 3D printed parts using a soldering iron. Provide a clean and durable fastening method.
Can often be replaced with press-in nuts.

Rivnuts

used for sheet goods (mostly metal) they provide a deeper thread and stronger connection then the material itself could