You can say a lot of things.
The simplest things you can say are:
"Thanks a lot!"
"Thank you so much."
"Thank you very much."
"Thanks, you're an amazing person for helping me out!"
"Thanks, you're a great friend."
If it's a friend of yours, you can say something more casual like:
"Thanks, you're awesome!"
For something really extreme, you can say:
"You've done so much for me, I don't even know how to thank you."
And if you're willing to return the favor:
"Hey, thanks a lot for helping me out! You know I'll do the same for you."
Or
"Thanks so much, if you never need any help, just ask."
There are a lot of variations. Everything srgause said is good too =)