Thumbs.db, as its name states, is a file based database that stores thumbnails of image files, certain types of documents and video files, mostly for Windows Explorer’s thumbnail view. They are stored locally in each directory that contains thumbnails on Windows system and are created to prevent system wide use of the data. Thumbs.db files are hidden system files, so you will need to turn off “Hide protected operating system files” in order to see them.
This idea of caching thumbnails in a spread thumbs.db local file has been around since Windows XP. While it seems to be a good idea, it sometimes could be annoying seeing this “File in Use” dialogue box pops up when trying to clean up the directory in Windows Explorer. And it seems to happen quite often in Windows 8 for some reason.