The thesis statement is the single most important aspect of your paper; it is, essentially, the justification for its very existence. A good thesis sentence should contain:

1. Your basic argument

2. The blueprint for the organization of your supporting details

Developing the Argument  

Topic versus statement
At the outset of your brainstorming, you will likely first decide on a topic for your paper; namely, the particular subject you plan to address in response to the assignment (in some cases, the assignment will already include a specific topic). Your job in formulating a thesis is to find a specific statement to make about that topic. 

Examples of Topics
"Natural Imagery in Wordsworth and Coleridge"; "Plato's Treatment of Gender Roles in The Republic."  

Examples of Statements
"In The Prelude, Wordsworth uses natural imagery to reflect his increasing awareness of divinity, while in "This Limetree Bower My Prison,” Coleridge's treatment of nature serves to establish his relationship with fellow human beings"; "In The Republic, Plato's arguments for gender equality are characterized by sameness of role, yet still subject to a male-dominated hierarchy."  

Using your sources to find your argument
Rather than making an opinion statement (one thing is "better" than another, etc.) your argument must be pulled from textual evidence. Conversely, however, it cannot be a restatement of what your source tells you, but must be an original thought arising from some point of interest, contradiction, or vagary within the text.

Specificity
In writing your statement, be sure to say exactly what you're arguing- do not make a broad generalization. Your reader should know from your thesis what your specific arguments are, not just roughly what they prove. Also, take into account the length you intend your paper to be. In the space of six pages, for example, you can't thoroughly discuss the effects of, say. World War II on America, but you might be able to analyze one aspect of its impact on a specific industry or social group.  

Too General
"There are many similarities between Madame Bovary and Anna Karenina, but there are some differences as well."  

More Specific
"Though both Madame Bovary and Anna Karenina pivot around the tension between individual liberty and societal mores, Flaubert concerns himself with the decadence of self-indulgence, while Tolstoy focuses on the notion of feminine entrapment."

Tension
Perhaps most important, make sure that your argument can be controversial.  If you set out to prove something that is a given (like "the 1960s were an era of American cultural upheaval" or "Hamlet undergoes numerous psychological changes") your paper is not only uninteresting, but entirely pointless. When you think you've decided on a statement, see if you can make a counterargument to refute it. Your job is to show how the evidence of your sources should be interpreted in a particular light, but crucial to its being worth reading is the fact that other interpretations are possible.

The Thesis as a Blueprint  

Framing your paper
In addition to stating your argument, your thesis should give an indication of the particular components thereof. Though it is not necessary for you to include the gist of each subsequent topic sentence in your thesis, it is important that the basic prongs of your over-arching idea be addressed.

Incomplete thesis
"In Moby Dick. Melville renders Ahab as a diabolical figure”

Complete thesis
"In Moby Dick, Melville renders Ahab as a diabolical figure through the contrasting Christ imagery of the Whale, omnipresent Biblical mythology, and a psychological descent analogous to the Fall."

One more note
Contrary to popular belief, your thesis does not have to be just one sentence. If you cannot construct an adequately complex thesis without making a heinous run-on, by all means, break it up.