"There" is the only one that's commonly used. In can be an adverb, an adjective ,a noun or a pronoun. "Thither" is an archaic adverb that means "toward there" or an archaic adjective that mean "in that place." It's not really used in modern English. "Yonder" is also old-fashioned, but it is sometimes still heard in southern and Appalachian dialects of American English where it's usually paired with the preposition "over." "Over yonder" means the same thing as "over there." You might encounter "thither" or "yonder" in literature, but I wouldn't recommend using either of them in your speech or writing.

Thither means to go towards a location already mentioned. Yonder is used over a distance towards the direction indicated. There is a location / direction that is not here. They are very similar but no one these days use thither or Yonder.

These are great words. "Yonder" is quite common in the U.S. but it's sort of a rural word. You are unlikely to hear spoken it in New York City. This may be partly due to the fact that in NYC you just can't see far enough for the word to be useful. It only makes sense to say "yonder" talking to someone who is standing right next to you. The word would make no sense in a telephone call, just as "over there" would make no sense. You certainly can use "yonder". Everyone knows the word. Shakespeare used it, so you will be in good company if you use it. Quoting from "Romeo and Juliet": "But, soft! what light through yonder window breaks? It is the east, and Juliet is the sun." Don't ignore "hither".