Modern English, along with many other languages, uses characters from the Latin alphabet. This was not always the case. Before the Christian missionaries arrived and introduced the Latin alphabet, the Anglo-Saxons communicated with a runic language that we now call Old English. The Latin characters gradually replaced the Old English runic characters over the centuries.
Two of the last surviving Old English characters were “thorn” and “wynn”. Thorn was represented by the character Þ, and made the “th” sound (like “teeth” or “this”). Wynn was represented by the character Ƿ, and served the same function as “w” in Modern English. Over time, Ƿ was replaced with “uu”, ultimately becoming “w”.
Þ had a somewhat more interesting history. People started substituting the letter “Y” for the letter “Þ”, while keeping the pronunciation as “th”. Thus, you would pronounce “Ye Olde Shoppe” as “The Old Shop”.