In the United States, the Master of Science degree (MS) typically requires a thesis, although some technical or clinical programs (as well as programs in mathematics may require an exam or an internship instead.
Sometimes the MS is a terminal degree, meaning that it's the highest degree available in the field (although beleaguered students in the midst of exams will often claim that terminal degrees are those that kill you before you finish...). Students in the aforementioned technical and clinical programs--audiologists, engineers, computer scientists, speech therapists, and so on--generally stop after earning the MS unless they plan to become professors, in which case the PhD provides the necessary calcification.
Usually, though, the MS serves as a step on the way to the PhD. Weirdly enough, different programs use the MS in opposite ways: some award it to students who pass their prelims, while others use it as a consolation prize for those students who bomb their prelims and thus fail out of graduate school. This (as you might expect) leads to lots'n'lots of confusion. My program used the former method, and after I passed my prelims and got my master's, I bounced around the campus for a while jokingly trying (and understandably failing) to get people to call me "Master Leighton". A friend of mine in a biology program--one that uses the latter method--saw me across the quad and seriously considered calling the men in white coats; she thought I'd failed out and slipped into some sort of manic hysterical counter-reaction. Fortunately she asked me about it first, which saved me from having to spend an otherwise happy day in a mental asylum somewhere....