Since 2010, more or less, increasing numbers of bicycles have been sold with forkends that have holes rather than slots, and with “thru axles”, rather than quick-release assemblies. Why is this? Let’s make a comparison and see why.

A quick-release assembly slides into a hollow axle and clamps against the dropouts.

The axle of a quick-release hub extends into the dropouts to align the wheel. A quick release assembly inserts into the axle, which is hollow, and compresses the dropouts against the hub locknuts. When the quick release is properly tightened, the axle does not bear against the top of the dropout slot to resist the load on the hub. Rather, the locknuts press hard against the inner faces of the dropouts and transmit all of the forces to the fork or frame. More about quick releases is here.

A traditional quick-release skewer is 5 mm thick, though some are 9 mm thick.

Traditional hub locknuts are serrated (have teeth) so they bite into the dropouts. If the quick release is tightened properly onto steel, titanium or aluminum dropouts, the locknuts can support any normal load, even the chain tension from a tandem bicycle – except for the loading from a front disc brake.

A thru axle is thicker than a quick-release skewer. The thru axle inserts into the hole in (usually) the left front or rear forkend, passes through the hub, and screws into a threaded hole or in the other forkend, or a frame fitting. The forkends may have shallow recesses to align the wheel as it is inserted, but no part of the hub extends into the holes in the forkends. It couldn't: the hub could then be inserted only by prying the forkends apart! 

This thru axle screws in like a bolt.

A tool, usually an Allen wrench, is needed to install or remove the type of thru axle shown in the image above. This kind of thru axle is a bit more convenient than a nutted axle, as it is tightened from only one side.

A thru axle may be tool-free, with a cam assembly like a quick release. This type is somewhat more convenient than a quick-release assembly with a front fork that has "lawyer lips". The thru axle must be adjusted every time it is installed, but there is no need to reach around the wheel to an adjusting nut. There are various ways the lever is released once the axle is secured, to allow the lever to rotate to a preferred orientation. 

This thru axle screws in like a bolt and tightens like a quick release.

Some thru axles have a lever to spin them, without the quick-release clamping action. Again, the lever can release to rotate to a preferred orientation..

DT Swiss thru axle with pushbutton-releaseable lever.

The bearings of a thru-axle hub rotate around a sleeve that encircles the thru axle. This sleeve is like a large-bore version of the hollow axle of a quick-release hub, except that it does not extend into the forkends. With most thru-axle hubs, radial loads (weight, chain tension and loading from braking or pedaling) are mostly taken up by the thru axle rather than being transferred to the forkends by the surfaces at the ends of this sleeve. The sleeve is kept from rotating by the compression of the thru axle.

Most thru-axle hubs use cartridge bearings. A hub bearing is behind the dark circle in the image below, which is the bearing seal. Shimano uses cup-and-cone bearings, as with other Shimano hubs.

The images that follow are of generator hubs, as they have a special issue with thru axles. We'll get to that, but otherwise they work the same as other hubs with thru axles.

End view of a hub made for a thru axle

Hubs can adapt to different thru axles as long as the dimensions are correct.. The usual thickness of a thru axle is 12 mm, though some Shimano E-Thru axles are 15mm and some thru axles for demanding applications are 20mm. Hub/spacing width and thru-axle threading may differ, and the seat for the bolt head/lever end may be flat or tapered.

1. Check that the hub sleeve fits neatly between the forkends before installing the thru axle. There has been a proliferation of dropout spacings with the advent of disc brakes and fatbikes. (See our spacing cribsheet.) There is no way to adjust the spacing by adding spacers.
2. Check that the thru axle fits the inside diameter of the hub's sleeve.
3. Install the thru axle in the frame or fork without the hub, to make sure that its: length, threading, conical or flat mating surface work with the fork or frame.
4. Grease the thru axle threads, and grease its shaft lightly to prevent it from seizing.
5. Install the thru axle. Often on a rear wheel, it is necessary to align the axle by looking at the right side opening, while installing, and also pushing on the thru axle, while tilting the hub a bit back and forth to find the channel. 
6. Tighten the thru axle securely to manufacturer's specifications.
7. There is a special concern with a generator hub. The thru axle could start to come loose without the wheel's seeming loose. The friction between the forkends and hub faces with a thru axle need not be as great as with a quick release, and so torque from the generator can rotate the hub's sleeve around the thru axle. The wires that connect the generator to the lamps will then wind up and break. SON brand hubs which connect through a special, electrically-insulated forkend are immune to this problem. If a SON hub of this type is loose, the lights may flicker but nothing will be destroyed.
8. Remove, regrease and reinstall a thru axle yearly. Thru axles are commonly used in wheels with tubeless tires and sealant that closes punctures. Any bicycle ridden infrequently can go for years without a flat or tire replacement. Particularly if a bicycle is ridden under messy conditions, on salted roads or in salt air, a thru axle can seize inside the hub. It may then be necessary to hacksaw through the hub sleeve and thru axle to remove the wheel. An ounce of prevention...
9. When shipping a bicycle, you need a different kind of spacer to protect the fork and frame. You can make this out of metal or plastic tubing cut to length to fit between the forkends. Install this over the thru axle.

You may also view a Global Cycling Network video about how to use a thru axle.

The trend toward thru axles arose due to several factors:

• Disc brakes: A front disc brake exerts an extremely strong force tending to pull the wheel out of the dropout. Look at the brake from the left side, and see why this happens: the disc is rotating upward through the brake’s caliper. The caliper is impeding that upward motion, creating the downward force. As the brake is applied and released, alternation of upward force of weight load and downward force from the brake can loosen a quick release and eventually allow the brake to tear the front wheel out of the fork.  The force from the brake can even bend and break the quick-release skewer when the dropouts have “lawyer lips” that (loosely) retain the wheel if the quick release has not been properly tightened. More about disc brakes is here, with a description of their problem with quick releases. A thru axle keeps the hub from wobbling even if not tightened hard.
• Hub design: The disc brake problem is made worse because some boutique quick-release hubs have smooth faces that do not bite into the dropouts.
• Carbon fiber forks and frames must have metal inserts at the forkends, to resist wear, but if the faces of the dropouts are not metal, a quick-release with serrations will wear it quickly.
• Quick-release design: Exposed-cam quick releases have become common. These quick releases do not tighten as securely as traditional enclosed-cam quick releases, worsening the problem with disc brakes. See more details in our article about quick releases.
• Precision of alignment: Assuming that the disc is true and the caliper aligned, installing a thru-axle wheel can be more trouble-free. The disc will be centered in the brake caliper without need for adjustment to prevent rubbing.
• Suspension forks: Forces at the hub can tend to flex and twist the fork blades relative to each other. The problem is more acute on rocky, bumpy surfaces, with a suspension fork; and with "brake steer" due to a disc brake's stress on one fork blade. A thru-axle hub provides a more rigid connection between the forkends than a quick-release hub.

A thru axle system does have some important disadvantages.

• A replacement thru axle can be hard to find. Different bicycle manufacturers supply thru axles that are not compatible with one another. (We recommend that you keep a record of the make, model and dimensions of your thru axles in case you lose one. See link below to help you find a replacement.) When you remove the wheel, immediately replace the thru axle in the forkends, so you won't lose it. With most quick releases, the only skewer incompatibility is with different lengths. You should reassemble a quick-release skewer assembly and reinstall it in the hub so you don't lose it, but if you do, getting a replacement is easy.
• Dropout alignment is critical with a thru axle. A steel fork or frame with slotted dropouts can be rebent and is still serviceable; a thru-axle fork or frame must be manufactured to very tight tolerances and can’t be realigned – well, many such forks are carbon or aluminum and can’t be rebent anyway.
• Threading in the frame/fork can become damaged: some frames have replaceable threaded inserts though.
• The hub can rotate around the thru axle if compression is weak, as mentioned.
• A wheel change is not as quick with a thru axle as with a quick release as already mentioned – but on the other hand, a disc brake may make a wheel even slower to install with a quick release due to imprecision of rotor alignment. This is not to speak of the extra time it takes to remove and reinstall a quick-release wheel when a front fork has “lawyer lips.”
• Thru axles tend to be expensive.

To sum up, I advise that bicycles with disc brakes have thru axles, at least for the front wheel, because they solve the safety issue. Thru axles also improve the stiffness of suspension forks. But thru axles bring problems of their own, and if you are a retro-grouch like me, you'll stick with quick releases and rim brakes, or you'll pay close attention to the tightness of quick releases on bicycles with disc brakes, indeed, I have two of them!

Links:

Wheelbuilder.com page about how to specify a thru axle

Mountain Bike Review forum article with some good questions and answers

BikeRumor video about through axles

FairwheelBikes page with a table of thru-axle dimensions