Born in Niskayuna, New York, to Joan, a home-maker, and Herbert L. Thal, Jr., an electrical Engineer, Thal, the youngest of five children, was raised on The Main Line of Philadelphia. He began performing as a Magician and started studying acting at age 14, with Richard Brewer, formerly of the Hedgerow Theatre. He graduated from The Haverford School and attended Lafayette College for one year, studying engineering and education, before moving to New York to pursue acting. He worked a variety of jobs including telemarketer, waiter, construction worker, janitor, and massage therapist, before being cast in his first film role in 1991.