Fundamental aspects and state-of-the-art results of thermal scanning probe lithography (t-SPL) are reviewed here. t-SPL is an emerging direct-write nanolithography method with many unique properties which enable original or improved nano-patterning in application fields ranging from quantum technologies to material science. In particular, ultrafast and highly localized thermal processing of surfaces can be achieved through the sharp heated tip in t-SPL to generate high-resolution patterns. We investigate t-SPL as a means of generating three types of material interaction: removal, conversion, and addition. Each of these categories is illustrated with process parameters and application examples, as well as their respective opportunities and challenges. Our intention is to provide a knowledge base of t-SPL capabilities and current limitations and to guide nanoengineers to the best-fitting approach of t-SPL for their challenges in nanofabrication or material science. Many potential applications of nanoscale modifications with thermal probes still wait to be explored, in particular when one can utilize the inherently ultrahigh heating and cooling rates.