I think Stephan's mentioned it many times before when he explains his lyrics that he writes about the beauty of people's faults and the joy we have knowing that we're not the only dirty filthy perverted freakish people who think they won't fit in anywhere. Everyone else is just as guilty. We're all in this "nightmare joke" together but we make it happy and liveable with each other's company. You'll find this theme in many songs like Jumper ("You know you don't belong"), Scattered ("No one is fooling anyone"), etc.
"it's all in your mind the darkness and the light. The clock it bleeds for you but you never got the timing right"-- those are his faults as told by girl.
"her clothes misfit and she's nervous when she speaks"-- these are hers as pointed out by him
"I woke you up and I slit the throat of your confidence"-- I like the idea of a relationship where they keep each other in check by cutting the other person down. Sadism at its finest.
"I'm the one for you cause I know all the dirty things you like to do"-- The tolerance and pleasure they have in each other's fucked-up-ness is only something the two of them can truly understand and celebrate.
It's called Thanks a Lot because he's thanking her for letting him realize that everyone is freakish in their own creepy way and it's ok. Celebrate the freak in you.
Thanks for being that someone that I can push around and humiliate to make myself feel better about me.