Thrym's name literally means "frost" in Old Norse. He is the frost-giant, the personification of winter. His theft of Thor's hammer, whose blows were thought to be one cause of thunder, might represent the well-known fact that thunderstorms do not occur in winter.
The Norse gods have been at war with the giants (called Jotun) from the beginning of their creation, when Odin and his brothers killed the first giant to try to prevent the birth of more. Thrym is a "typical" giant in that he's not particularly bright. How did he not notice that his bride was Thor in disguise? Last time we checked, Thor was a huge, ripped god and Freyja was the most beautiful goddess around. Loki doesn't even have too much trouble convincing Thrym that his bride's monstrous appetite and scary eyes are simple pre-wedding jitters.
Thrym's theft of Thor's hammer, and his demand of the most beautiful and high-ranking of the goddesses in exchange, suggest either some serious chutzpah – or maybe just some serious stupidity.