Very much depends on your environment.
For palin old C nothing beats POSIX.
For C++ there is a very good threading library from BOOST.ORG for free.
Java just use native java threading.
You may also look at other ways to acheive parallelism other than threading, like dividing your application into client and server processes and using asynchronous messaging to communicate. Done properly this can scale up to thousands of users on dozens of servers.
Its also worth remebdering that if you are using Windows MFC, Gnome or Qt windowing environment you are automatically in a multithreaded environment. If you are using Apache ISS or J2EE your application is already running inside a multi-threaded multi-process environment.
