A good thesis statement is best placed at the end of your opening paragraph, which should have a funnel shape -- "Of all the subjects in the world, I want to talk about...and examine the specific question of...."  For an essay on the madness in Hamlet, then, the thesis statement should tell the reader what specific topic you will concentrate on and give a conclusion to.  The most common approach to this subject is "Is Hamlet really mad, or does he become mad during the expolition, or does he only feign madness?"  So, in the final analysis, this is a topic that examines the play's structure -- the progress of its "plot" or action.  You might try something like this: "In my examination of the question of madness, I have discovered three places in the plot where Hamlet's sanity is questioned, first at...by..., then at... by..., then at...by ... (Blanks left here intentionally.)"  This thesis statement would allow you to discuss many aspects of the play: ocular proof, social signs of madness, revenge's distortion of one's sanity, religious laws, etc.  (Note:  Don't forget that Hamlet himself also questions his sanity.)