Writing something like 'ye olde shoppe' is an instant shortcut to making a place or movie set seem old and antiquated. You probably just read that first sentence and you pronounced the Y with a sound like in 'you.' However, you'd be pronouncing it wrong!
Back in the olde days, people wrote in runes similar to the ones used in Lord of the Rings. This alphabet had a different system of letters and was considerably different to the Latin alphabet we use today.
When people started writing in a letter system similar to the one we use today, some letters stuck around, including the thorn (see image on the left) which was pronounced the same way we pronounce ‘th’ today.
When the printing press came into use, people faced a problem. There was no printing block for thorn. Printers solved this problem by using the letter Y in its place. This caused confusion and led to ‘th’ being used instead.