The [θ] sound is one of the two sounds usually represented by the English letter combination th. (The other is the [ð] sound.)
[θɪk] | thick | |
[θɑt] | thought | |
[bæθ] | bath |
This symbol was borrowed from the Greek alphabet and is called by the name of the Greek letter: theta [ˈθetə].
If you're having problems hearing the difference between [θ] and [ð], try the discrimination practice.