Unfortunately, thistles are tough. If you can handle some hard work, digging out the plants by hand in fall is a good way to combat them and avoid being left with prickly dead foliage in your lawn. Otherwise, in spring use a broadleaf herbicide labeled for use on thistles (check for it at your local garden center). Another way to control individual thistle plants is to use a nonselective herbicide such as glyphosate (Roundup) in fall. Take care to spray only the thistles and not the desirable lawn grasses; it will kill grass plants it comes in contact with, as well as thistles. Spray when the air is calm, or use an old paintbrush to apply the herbicide directly to the thistle plants.
If the thistles are concentrated in certain areas of the yard, it may be simpler to spray the entire patch, grass and all, with glyphosate, and start over with new seed or sod in those areas. It will take 10 days to 2 weeks for the thistles (and grass) to die after being sprayed. After they have died, it is safe to rototill the affected areas and reseed or resod. You may need to attack the thistles again next summer because of seeds that have not yet germinated. Prevent them from growing and blooming again, or the problem will quickly return. A couple of seasons of steady attention to weed control will eventually result in few of these difficult weeds on your lot.