I think it depends in large part as to what you are going to write about concerning the play. In my opinion, I think that a good topic would be to write about Nora. While the characters in the play are very strong, Nora seems to hold the most interest for me. You could take several approaches to writing about Nora. One idea to write upon might be that Nora represents a rejection of the traditionalist notion of women. You could write about a very nice comparison to how Nora was at the start of the play and how she was at the end of it. Another topic area could be focused on societal treatment of women, examining how the different men view and treat Nora and analyzing her response to these views. The strength of your thesis is going to be dependent on what you feel is the most compelling part of the play, the part where you can find the most evidence from the text to prove your point. Find this, and you have your thesis.
Your thesis should be an idea you believe is true, one you can explain and support with evidence from the play. In coming up with a strong thesis, ask yourself these questions:
Based on my reading, what do I think is true about Nora? About Torvald?)
What do I think is true about the society in the play?
What do I think is the main point or message of the play?
What do I think is the most important conflict in the play?
When you have an answer to any of these questions that you can explain and support with facts, examples, and passages from the play, you will then have a good thesis for your paper.
The enotes links below will take you to some excellent information and analyses in regard to the play. They might help you focus your thinking. Good luck!