Despite the fact that we won’t see the core Thanos story in the movies for a while, Marvel has made it a point to constantly remind us about him with countless mini-series, annuals, and other features as well as reprinting a lot of his older appearances. Of course some of the key issues to try to hunt down if you’re a completest is his first appearance in Iron Man #55 and other subsequent appearances throughout the early run of Captain Marvel (#25-33). Wikipedia has a pretty good chronological list that you can cross reference with Comicbook Database, but keep in mind that a lot of those earlier appearances are the rarer and more expensive books to track down.
But there are some more random modern issues that won’t cost you an arm and a leg that are actually pretty tricky to hunt down because most fans don’t even know about them. Key among them would be the Thanos Quest, a two issue series that has since been reprinted in the Silver Surfer: Rebirth of Thanos TPB and as a simpler and smaller prestige format book. The first issue is going for about $80 or so these days while the second has held at $20 for a while, but moving on them now is probably a smart move.
A more obscure mini-series that you can still get fairly cheap is the 1994 run of Cosmic Powers written by Ron Marz. It starts out with art by Ron Lim, the quintessential cosmic Marvel artist whose depiction of Thanos is probably seared into the brains of the character’s fans. You can probably find most of these issues in quarter bins actually, so it will require a bit of digging.
Another obscure run of Thanos appearances took place in the easily (and thankfully) forgotten run of Secret Defenders which was also released back in 1994. Also written by Marz, Thanos appeared from #11-13, #12 being the fancy issue with an actually tastefully done prismatic gimmick cover. Tom Grindberg had art chores as Thanos compiled his own secret team of villains to act as proxies on a cosmic errand. It’s kind of funny as well as Grindberg snuck in a huge monitor panel showing that Thanos was spying on Darkseid! These you can definitely find in quarter bins, and you should spend no more than $3 because seriously, it’s the Secret Defenders. Still, that’s a really pretty shiny cover for #12.
There are odder appearances, such as the runs he had in Cyberspace 3000, Lunatik, and Rune, but it’s probably safe to say no one will ever care and they won’t really appreciate in value. One chunk of appearances that most people never think about that I would recommend would have been in Mark Waid’s Ka-Zar series. Besides that just being a fun comic, you had some great Kubert drawn stories of Thanos basically beating the crap out of a man in a loincloth and his pet sabertooth tiger named Zabu. Because comics.