The Thunderhead is the big cloud-ball in The Sky in Skyward Sword. To get there, Link has to change the direction of the windmills in Skyloft so they're turned to the Light Tower. There he will play Ballad of the Goddess on the Goddess's Harp and a beam of light will shoot toward the Isle of Songs, opening a hole in the Thunderhead with which Link can enter with his Loftwing.
There are three points of interest within the Thunderhead:
The Isle of Songs is visited three times to learn new songs on the Goddess's Harp. Bug Heaven is a mini-game and part of a sidequest involving Beedle and Strich. Levias only appears after Link brings a vat of Hot Pumpkin Soup with him, and he will teach Link the Song of the Hero after he has collected the other three parts to it.