Well, as usual one must first caveat this with the fact that there's next to no written sources from Scandinavia from before ~1100 and thus pre-Christianity. So, to what extent it's valid to extrapolate the early medieval laws and customs back to the Viking Age is a matter of constant debate.

So, first things first: Who is a thrall, how does one become one?

Most probably imagine the path would come from being captured in a Viking raid on the British Isles or Continental Europe and brought back to Scandinavia in a longship. Many sources speak of raiders taking people. However, there's not really any written sources nor archaeological evidence to support the idea that signicant portion of the Scandinavian population were foreign slaves. However there's nothing remotely close to accurate demographic data for that period. There is no way of really knowing what portion of the population they were. The Domesday Book of 1086 puts the English slave population at about 9%, but we can't know how closely that represents Scandinavian conditions.

The foreign sources seem to indicate that the people taken were usually ransomed back. If they couldn't be ransomed it's likely they'd be sold as slaves at more local markets in exchange for silver and goods, which could be brought home more easily. There were however other ways of becoming a slave..

One could be born to parents who were thralls. It was a heireditary state, although at least in later laws, one would inherit the higher status in mixed relationships; i.e. a child of a thrall and a free man would be free. (but not fully the same status) A handful of Swedish runestones also mention the status of fostre - someone fostered, i.e. someone born on the owners' farm, which was worth more than an ordinary thrall.

Another form of slave was a bryti, who seems to have had more powerful functions, as the head of a farm in the absence of the owner, or as a court official (e.g. mentioned on the Håkan stone at Hovgården), yet was unfree. There are other terms as well; ambót or tir for female slaves, deja and seta. And in Sagas and other sources there are many ambiguous terms like being someone's 'man' or 'sven' (boy) which could but didn't necessarily refer to unfree servants. Increased status meant increased responsibilities though; the Westrogothic Law (13th century) states that if a thrall and a bryti steal, only the latter will be hanged. On the other hand, many crimes committed by thralls would cause the owner to be fined, as well as the thrall being forfeited to the victim. (allowing them vengance any way they saw fit) The owner had to keep his thralls in line.

The Icelandic Laxdæla saga writes of an Irish princess Melkorka taken as a slave who becomes a concubine of Höskuldr the viking, and was to some extent treated as a second wife. Although I'm personally rather skeptical of the historicity of the story in its specifics, females being used for sexual slavery definitely was a thing.

There were other ways to become a slave as well: For certain crimes, like witchcraft (at least in the middle ages) one could be demoted to the status of a thrall. People unable to pay debts could also enter into thralldom with their debtor for a set period of time, in a form of indenture. Elderly with no family to care for them in old age could also voluntarily enter thralldom in order to be looked after.

Owners could free their thralls at will. Although the introduction of Christianity did not immediately end thralldom, it did establish that freeing one's slaves was a virtuous action. The Danish Hørning stone from around 1000 is a christian stone (cross on it) raised by an freed thrall in memory of his master. Another example is the English missionary Saint Botvid, who according to legend was martyred in Sweden in 1129 by a thrall he'd freed. As one goes farther into the middle ages, the wealthy began bequeathing property to the church but also freeing slaves in their wills. (e.g. the will of Bishop Absalon of Denmark +1201, or Viglog Nilsson in Sweden +1276)

Slaves could also buy their freedom and become free, but a løysi (freedman), who did not have the same status as a fully free man. Even the children of a freed slave would not have that. But for an example of freeing thralls, Snorri's Saga of Saint Olaf, chapter 23 in Heimskringla says quite a bit on the thrall-holding of Erling Skjalgsson, a wealthy Norwegian leader around the year 1000. Now, the text is very positive to Skjalgsson in general and there's every reason to think it may be idealized. But what it says is that Skjalgsson held 30 thralls - giving an idea of how many you'd have as a member of the 1%. The bigger movers and shakers in the sagas are typically depicted as having around a dozen. Anyway, Erling is described as giving his thralls set tasks for the day and giving them their own fields to work in their spare time if they wanted, in which way they could earn money and buy their freedom from Erling, who in turn bought new thralls with the money. Medieval provincial laws also mention the process of slaves buying their freedom - if they somehow managed to get the money.

So there was not a single unfree state, or a single way of becoming a thrall. In fact there was a certain mobility both in and out of the thrall status.

This should however not distract from the fact that as a slave, you were at best a lesser human being and at worst mere livestock. They had no family, no honor, no status, and few to no rights. The Scanian Law (c1210) treats "stealing [another's] thralls or killing [their] livestock" in the same sentence and paragraph. Valdemar's Zealand Law mentions marking thralls - again like livestock- by slitting their nostrils with a knife. Similies like "whipped like a thrall" and such indicate that corporal punishment of thralls was commonplace.

In the Westrogothic law it's clear killing or maiming your own slave (or your wife or children doing it) was legal. Killing someone else's slave incurred a fine to the owner of three marks (unless the slave was worth four). By comparison killing a full person was a fine of 13⅓ marks, killing a Dane or Norwegian was 9 marks. Killing someone else's escaped slave merely required you to notify the owner. Maiming or injuring slaves was treated like property damage.

However the Gutnish law (c. 1220), which is more explicitly influenced by Christianity than these other contemporary provincial laws, establishes that if someone's slaves were found working on holy days, the owner would be fined and the slaves released after three years. (possibly intened as half of the six-year servitude in Exodus 21:2) If a distinction was made in killing slaves and free men, it's not codified.

Prior to Christianity though, slaves were used in human sacrifices. Ibn Fadlan gave a rather well-known eyewitness account of a female slave being sacrificed by Rus' (in his terms, likely Swedish varangians/vikings) at the funeral of a leader. The sagas and Adam of Bremen wrote probably exaggerated accounts of human sacrifices, but archaeological evidence from a handful of graves shows decapitated people, likely thralls, placed somewhat haphazardly on a funeral pyre over much more carefully placed and adorned important people.

As for escapes though, keeping thralls from escaping was not necessarily a huge concern. Since they could not be part of society and be killed without retaliation, the status of an escaped thrall was similar to that to someone banished (biltogher), which was the second-harshest punishment and often an effective death sentence.

Most sources (including Laxdæla saga, even though writing about events centuries earlier) here are written in the 13th century, at the very time thralldom was disappearing or had already disappeared, in Denmark by the early 1200s. As with paganism, thralldom also persisted the longest in Sweden, the Skara law of Magnus Eriksson of 1355 declaring that no children of Christians would be slaves. However, it's considered likely that there were few if any thralls left by then as there's only a single mention of a single thrall in the preceding half century of medieval Swedish texts.

As thralls disappeared there's an increasing talk about frälse (free) vs ofrälse (unfree), which are terms for nobles+clergy and commoners, respectively. So there's a movement towards a feodal view instead, even if Scandinavia never saw the institution of serfdom and full-fledged feodalism.

Additional sources:

Thomas Lindkvist, Janken Myrdal - Trälar – Ofria i agrarsamhället från vikingatid till medeltid, 2003

Stefan Brink, - Vikingarnas slavar, 2012