Encyclopaedia Metallum: The Metal Archives
The most complete metal band database ever. No matter how obscure a band or album is, you will most likely find at least a mention here. There is a very active forum, too. The only bad thing is that every now and then the site can be slow or completely down due to server or bandwidth issues, so it is not always available when you need it - but you probably won't find the same information anywhere else either.

The Thrash Metal Guide
The most comprehensive listing of thrash metal bands and albums out there at the moment. This site makes a nice and concise starting point and a handy reference with short comments about every band.

Thrash Unlimited
Dedicated thrash metal forums with a cozy feel, intended for fans to discuss and promote both old and new thrash metal bands. There is also a related internet radio station with very appropriate playlists.

Dark Lyrics
Unarguably the largest archive of metal lyrics on the web, regardless of the genre. The layout is stylish and simple with no unnecessary fluff or quirks, and finding your way around couldn't be any easier.

Metaleros
The ultimate site about metal bands from Latin America, many of them in the thrash metal category. The coverage of bands and detail of information is awesome and shows an immense amount of dedication.

Ruuth's Inn
Thrash metal webzine solely devoted to the genre, including articles, album reviews, band interviews etc. Apparently the site is not updated anymore, but it remains available to provide a wealth of information.

eBay, GEMM, MusicStack
These are possibly the most notable online marketplaces for those hard-to-find albums. GEMM and MusicStack are quite similar to each other, but there are enough of slight differences that it is good to keep an eye on both of them on a regular basis. For the most rare items, eBay auctions are often the only viable source, however, keep in mind that some people there have more money than common sense.