A Thestral tail hair is a hair taken from the tail of a Thestral, and is used as a wand core. It is regarded as an unstable, if not difficult substance to use in wand making, though Veela Hair is also described as such, but has been successfully utilised.
The only known wand to have used a Thestral Tail hair is the Elder Wand. Created either by Death or Antioch Peverell, was the strongest wand in the entire history of wizardkind, and by legend was made to render the user invincible in wizard duels.
Whether this is a testament to the power of the Thestral tail hair remains ambiguous, as Elder Wand bearers have been shown to be defeatable in a duel (Gellert Grindelwald for example, but could have been to the fact that the wand didn't truly accept him as the master since he stole the wand rather then disarming it). Nevertheless, the Elder Wand has shown additional powers that other wands are not capable of, such as being able to successfully repair other wands, which was thought to be by people who have studied wandlore to be impossible.
It is assumed that one must be able to see Thestrals in order to utilise their hair, and since one must witness death first-hand to see a Thestral, anyone wishing to forge a wand with the hair must witness death, tying in with the story of being "Master of Death." It is unknown if the tail hair would be invisible to a wandmaker who had not seen death, as a Thestral would be, or if it can be seen once its separated from the Thestral.