Generally, "that" is used to specify a specific subset of the set under discussion, and "which" just adds some extra information about the whole set in general. E.g.

My car that is blue in color runs very fast.
      I have many cars. That one which is blue in color runs very fast.

My cat, which is black in color, jumped outside the window.
      I have only one cat. It jumped outside the window.

However, I am unable to decide whether "those things which" or "those things that" is appropriate in the following:

Those things which I need are nowhere to be found.

Those things that I brought were very costly.

By the way, are commas needed here before "which" and after "I"?

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    ODO makes the that vs which situation clearer. Here: 'Those things, which I need, are nowhere to be found' may be paraphrased 'We can't find those things. And I need them!' whereas 'Those things which/that I need are nowhere to be found' may be paraphrased '[You know] [T]hose things I need. We just can't find them.' There are other posts on the that / which situation. – Edwin Ashworth Aug 24 '15 at 8:35
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    Highly related (and an excellent read, too). – Janus Bahs Jacquet Aug 24 '15 at 9:39

In UK English it's the commas that make the difference, not "which" or "that"!

By putting the clause "which I need" between commas you are showing that this is additional information; the reader knows about the things already, but you are now telling her that you need them.

Without commas you are assuming the reader knows that you need some things, and are restricting the sentence to talking about those, and not any other things you may have mentioned to her.

In writing you shouldn't use "that" inside commas but you can use "which" or "that" otherwise.

In speech, however, there are no commas. English uses the commas because we have no way of writing intonation patterns - and that opens a much bigger can of worms for the English learner!

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