The other answers to this question do a good job of describing what a thesis is, so I don't think I'll need to outline that concept further. However, I do think that there are some other points that could be formed into a thesis on "Araby" that are worth mentioning. Specifically, I think it's useful to consider how the themes of chivalry, idealization, and ordinary life are related in the narrative. For example, the narrator of the story is obsessed with romantic stories of adventure and chivalry, including a romance written by Walter Scott. These idealized, fantastical fictions contribute to his idealization of Mangan's sister as an object of romance, and also of the Araby bazaar, a supposedly exotic market full of treasures from exciting and distant lands. However, the narrator's idealized, chivalric imagination is distinctly at odds with his ordinary life. The story takes place on North Richmond street, a street north of the River Liffey, and it's important to note that North Dublin has a long history as a working class part of the city (at the very least, it's usually seen as less wealthy than the posh suburbs of South Dublin), and the narrator's relatively low-income surroundings seem to have no place in his idealized, romantic fantasies. The narrator realizes this fact when he visits Araby and finds it to be disappointingly ordinary and shabby, a far cry from the exotic place he imagined. Thus, a thesis for this story might explore how the narrator's ordinary surroundings deconstruct the chivalric and idealized fictions he clings to.

Joyce employs a technique called chiaroscuro, using light and shadow, in order to illuminate (pun intended!) intangible emotions and ideas in the story. Chiaroscuro is an Italian word that translates, more or less, into "light dark." You can trace Joyce's use of chiaroscuro beginning with the narrator's descriptions of Mangan's sister—note how she is always "defined by the light" and the way he talks about her as though she is always bathed in light or even lit from within, even when everything around her is dark. Further, he continues to describe his experiences prior to arriving at Araby in terms of how light or dark something is (like the lights he sees from the train or the illumined clock on the building). Finally, in the end, the narrator experiences an epiphany when he finds himself totally in the dark at the bazaar. These changes illustrate his emotional state throughout the story, ending with his final loss of hope and optimism. Therefore, a thesis on this topic could argue that Light and darkness are used to illustrate the narrator's youthful love for Mangan's sister, his hopefulness regarding the Araby bazaar, and his final epiphany about his relative position in the world.

A thesis is the central point around which all the other material within an essay revolves. A thesis contains two parts: the paper's limited subject and the point of view (or attitude) toward the subject. A thesis regarding James Joyce's "Araby" could examine the themes presented within the text. 

"Araby" presents ideas on alienation, loneliness, and transformation. Therefore, a thesis statement for an essay on "Araby" containing three points could define the aspects of alienation, loneliness, and transformation illuminates in the text. 

The central point around which all other material revolves is the theme. The limited subject of the essay themes within "Araby." The point of view of the point of view of the paper depends upon how you, as the essayist, feels about Joyce's success or failure at illustrating the themes of the text. If you believe that Joyce is successful, the point of view will be positive. If you feel that Joyce failed at illustrating the themes of alienation, loneliness, and transformation, then the point of view will be negative. 

For example, a thesis which supports that Joyce is successful at illustrating his themes would look like this: 

James Joyce, in his short story "Araby," successfully illustrates the themes of alienation, loneliness, and transformation. 

Contrastingly, a thesis which does not support Joyce's success would look like this:

James Joyce, in his short story "Araby," fails to successfully illustrates the themes of alienation, loneliness, and transformation.