There are a few ways to get a hole threaded.
1.) Turning. Lathes are machine tools that turn the part (hence, turning). The tool is pressed into the part, and fed along the part's axis peeling material away. Kinda like those old fashioned apple peelers. If you use a pointed tool, and move the tool very rapidly along the axis of the part, you get a helical groove. If you take a little more on the next pass, and a little more after that, you get a thread. To put the thread on the inside of the part instead of the outside, you do the same thing, except inside an axial hole. There is a serious limitation on the size of a hole that can be threaded on a lathe, because the tool must be quite a bit smaller than the hole. This method can be used with a CNC or manual lathe, presuming the lathe has thread cutting gears
2.) Thread milling (my favorite). A mill is a machine tool that spins the cutting tool instead of the part. A thread mill is a tool that has grooves cut in the side of it. The tool is moved in a helix going down the inside or outside diameter of the part, cutting the thread. This method only works on CNC mills that have the appropriate software.
http://www.osgtool.com/newsproduct.asp?ID=1040
3.) Tapping. Tapping used to be simple. Just mount the tap in the chuck on the drill press, plop the part into a vise and feed the tap into a predrilled hole until the tap starts. Stop the spindle when it gets deep enough, and reverse. Then, came machinery with servos controlling the depth of the tool. Suddenly you needed this goofy expansion device (Tapmatic is a popular one), because if the rate of feed on the machine didn't exactly match the rate of feed of the tap, you'd break something. Finally servos become good enough that the feed rates could me matched exactly, so you could get rid of of the tapping device. This is called rigid tapping.
http://www.osgtool.com/catalogtap.asp?ProdListNum=10052&ProdNumPos=1
There are a couple of different kinds of taps. regular and bottoming, cutting and forming(or rolling).
The most common are tapered and bottoming.
A "regular" tap is tapered, so the full thread size doesn't begin until a little way up the tool.
A bottoming tap has thread all the way to the end, so you can reach the bottom of a hole.
A cutting tap removes material.
A rolling or forming tap pushes material to where it needs to be. No material is removed.
