Like many languages outside Europe, Thai distinguishes between aspirated and unaspirated plosives (eg [tʰ] and [t]). These both occur in English, but they are not treated as distinct sounds, so it is usually hard for English speakers to hear and produce them reliably. The word "Thai" in Thai starts with an aspirated consonant.
To percieve the difference, consider the English words "tick" and "stick". In English, an initial 't' is usually aspirated, but the 't' in initial 'st' is not - you can verify this be holding a hand in front of your mouth when you say the words: you will feel the puff of breath after the 't' in 'tick' but not in 'stick'. In those contexts we readily pronounce the 't' differently, but don't notice we are doing so, and have difficulty making or hearing the difference outside that context.
Scholars believe that the many English words that are borrowed from Greek and contain 'ch', 'th' and 'ph' (eg 'chasm', 'theatre', 'physics') originally all had aspirated stops in Greek, though in Modern Greek as often in English they have changed to fricatives.