I have a Canon 550D and I have a THM for each picture that I have taken in my SD Card.
What is a THM file and what is it used for?
It's a thumbnail file. Usually it's generated when you take a video, to give you a preview image on the LCD and to store the EXIF information for exposure, focal length, etc.
You can rename it to .jpg if you want to view it on your computer.
Just based on the "THM", I'd guess it's a thumbnail of the picture. I haven't looked specifically at the 550D, but in the cameras I have looked at, it was really just a small JPEG with a somewhat unusual name.
As far as what it's used for, the camera loads it when you're viewing pictures on camera. Only when/if you zoom in does it load the full-resolution version.