'So' is the most common, and means the same as 'therefore', which is formal but also common. It's used to show a reason and result of something. (I'm very tired, so I'm going to sleep). You can also use 'so' to begin a sentence or change the subject of a conversation. (So, what do you want for dinner?)
'Then' is just as common, but the meaning is a little different. Use 'then' for 'in that case', especially with 'if'. (If I feel tired, then I'll go to sleep).
'Thus' and 'thereby' are both very formal and not common. You probably won't hear or use them except in formal or academic writing.