A Thread dump is a dump of all threads's stack traces, i.e. as if each Thread suddenly threw an Exception and printStackTrace'ed that. This is so that you can see what each thread is doing at some specific point, and is for example very good to catch deadlocks.
A heap dump is a "binary dump" of the full memory the JVM is using, and is for example useful if you need to know why you are running out of memory - in the heap dump you could for example see that you have one billion User objects, even though you should only have a thousand, which points to a memory retention problem.