All the spaces you're a member of will appear on the left side of Threads.
The space name will appear differently depending on whether or not you have unread threads in the space.
There are three ways the space can appear:
Grey and not bold: There are no new threads or responses to threads in this space. It means you're completely caught up on everything in the space.
Black and bold: There is an unread thread in the space. If you have your notifications turned off, you'll still be notified of new threads in a space here.
Black, bold, and a red notification icon: There is an unread thread in the space — a red, numbered notification appears when you have notifications for that space turned on. It can indicate you are mentioned, or simply show there is an unread thread.