HandBrake, the open source video encoding software, is a good example of a very multi-threaded application. It will use as many threads as you have. Most anything that deals with editing or encoding video is very multi-threaded, as working with video is by nature a parallel operation. Look at video cards, GPUs, they are nothing but what used to be called vector processors, SIMD (single instruction, multiple data) machines.
7Zip, the file compressor/decompressor, is another good example of a multi-threaded application.
LAME, the open source audio encoder, is a good example of a single-threaded application. It will never use more than one thread (so when I'm encoding MP3 files, I just run four or more copies at the same time, each encoding a list of audio files).
From what I've read, the majority of major new games are multi-threaded, that is, they take advantage of at least two cores, if not more. Take a look at Tom's periodic articles on the "Best Gaming CPUs for the Money".