I just use them to mess with people or to be Impish. I guess you could select the Thralls by who deserves it (ie necromancers and/or vampires) or by what type with whom you'd most likely associate in life.
Be advised that NPCs will react negatively towards you when you have one with you, if the Thrall gets lost, and after you've recently 'dismissed' the Thrall.

I'm pretty sure the NPCs will still offer their quests, but the random passing dialogue is standoffish at best.
