Threaded stuff: Software that can utilize a large number of 'threads,' meaning CPU cores or simulated cores using hyperthreading (not exactly how hyperthreading works, but close enough). 'Threaded' or 'Heavily threaded' today generally means stuff that can use more than 4 cores.
Edit: Here's my own noob question: do any AMD processors do hyperthreading, or is that an Intel-only thing?
So for instance, many games can use no more than 2 CPU cores: like SC2. Some games can use 4 cores effectively, but virtually none (only Shogun 2, to my knowledge) can use more than 4. That's why games are not generally considered a heavily threaded task.
Graphics rendering, streaming, heavy auto-CAD programs, some specific scientific software, these can all use more than 4 cores - the more cores the better. (Edit: or all the uses above, lol. VMs = virtual machines, putting a second computer in your computer so you can compute while you compute.) That's heavily threaded, and it affects what processor you might buy. For instance, a Phenom II x4 will perform about as well as the newer FX Bulldozers in games - because they have 4 cores and as high of per-core performance. The high end Bulldozers, however, have eight cores, and significantly out perform 4-core processors in heavily multi-threaded applications like I listed above.
Generally, if you do threaded stuff you already know it. If you don't know if you need many cores in your processor, you probably don't.
Edited by MisterFred - 3/30/12 at 9:37am