Like others said, you are not alone. YOu sound just like me. I am 29 and have had thinning hair for a while. I figured out that after my divorce, when I stopped taking 'the pill' and started running more and dating and was happy, that my hair looked great. Now that I'm remarried, with a kid, not running too much, it's gotten thinner again. Was pretty when I was pregnant too.
I tried Rogain for women a long time ago and did not see results. It's expensive too, so if you try it, look online for coupons/deals. I have heard of Hair Ovation (Google it). I do not know if it's worth the $100 to start it. A few years ago I had a consultation with Hairclub for Women & Men and it was going to cost me about $4,000 for the first year, about $2,000 I think for the following years for the rest of my life. (not for the shampoos, but for the transplanting). I could not afford that. If you're very very thin, you'd probably cost more. On The Doctors the other day, they taked about a laser device, I think it was called Hair Max. I read some reviews on Amazon.com and they were about 50/50 of it being good product. It was $500.
Good luck. I'm going to save your question so I can see other's answers. When I'm having very thin days, I use a scarf around my head and pull it back. Another option, maybe, instead of a hat. And I would suggest also maybe trying another hair stylist. When you see someone with voluminous, yet thin hair, ask who her stylist is. Or ask the dermatologist/hair transplant specialist if they have someone they recommend. And yes, I had my thyroid checked too, when my hair was really bad. Results were "normal" they said.