I had a 3700 message thread on my HTC Hero which had been building up since January. The response from the messages app was awful, and I finally decided to do something about it.
I used SMS Backup by Christoph Studer to backup all my messages to Gmail automatically. It does it in batches of 200, and it kept on stopping part-way through some batches, but with a little babysitting, I managed to get them all under a label 'SMS'.
I then tried to delete the thread using the messages app, but it completely choked and locked up. In the end, I tried downloading SMS Backup & Restore (a different app to above), which claimed it could delete all my messages. Unfortunately, that didn't look like it was doing much. Left for long enough, it may have eaten through, but there was no progress bar, and it stopped deleting every time I tried to hide the app.
I don't have a rooted phone, but after several restarts of my phone and both my messaging app and Backup & Restore, I decided to download Delete old messages. That stalled at the 'finding messages' and wouldn't go any further, but I restarted the phone, killed the Messages app, and it started working. I set it to delete all messages over 2 months old and left it running overnight, and it worked! I'm currently deleting another 1200 messages from the past month, and it's about 85% of the way through.
It's slow work, but it should do the job in the end. It's certainly better than trying to delete the thread through the default Messages app. I know the thread's quite old, but I thought I'd clear some stuff up for anyone else still suffering from gigantic threads.
Edit: I just deleted the last week's worth of texts, about 500, directly from the Messages app. Didn't do it at first, but I noticed the thread had gone when I looked back a couple of minutes later. This is in contrast to the 1500 it choked on before I ran Delete old messages again.