Threading is an ancient method of hair removal originating in India. In more recent times it has gained popularity in Western countries, especially with a cosmetic application (particularly for removing/shaping eyebrows).
In threading, a thin (cotton or polyester) thread is doubled, then twisted. It is then rolled over areas of unwanted hair, plucking the hair at the follicle level. Unlike tweezing, where single hairs are pulled out one at a time, threading can remove short lines of hair.
Advantages cited for eyebrow threading, as opposed to eyebrow waxing, are that it provides more precise control in shaping eyebrows and is more gentle on the skin. Lip - Chin - Eyebrow Threading.