A thinny is a "weak spot" in reality, where the fabric of reality has been worn thin. They are described as looking like large blobs of mercury and emit a warbling sound similar to a musical saw. This sound can set a person's teeth on edge and/or hypnotize the victim.
Besides the insanity-inducing buzzing and warbling sound, the thinny plays on a person's thoughts; telling them what they want to hear and promising a fine outcome. Death is more likely. Transportation into other universes is possible by simply walking into a thinny, but this is a rare outcome.
In Wizard and Glass the main characters end up passing from All-World into Topeka, Kansas in the world of The Stand by riding Blaine the Mono through a thinny that is breaking between the two worlds. In flashbacks presented in the same novel, Roland encountered a thinny earlier in life that entered into a world filled with monsters that almost "devour" an entire army.