When should I use a ThreadLocal variable?
How is it used?
Many frameworks use ThreadLocals to maintain some context related to the current thread. For example when the current transaction is stored in a ThreadLocal, you don't need to pass it as a parameter through every method call, in case someone down the stack needs access to it. Web applications might store information about the current request and session in a ThreadLocal, so that the application has easy access to them. With Guice you can use ThreadLocals when implementing custom scopes for the injected objects (Guice's default servlet scopes most probably use them as well).
ThreadLocals are one sort of global variables (although slightly less evil because they are restricted to one thread), so you should be careful when using them to avoid unwanted side-effects and memory leaks. Design your APIs so that the ThreadLocal values will always be automatically cleared when they are not needed anymore and that incorrect use of the API won't be possible (for example like this). ThreadLocals can be used to make the code cleaner, and in some rare cases they are the only way to make something work (my current project had two such cases; they are documented here under "Static Fields and Global Variables").