There are three different terms used to describe this dialectal difference: ceceo, seseo, and distinción.
Dialects that are said to have the ceceo use "th" instead of an "s" sound. Dialects with the seseo use the "s" sound. The distinción actually uses both, distinguishing between one and the other.
For example, the words "casa" (house) and "caza" (hunt) may or may not be pronounced the same. When the seseo is used, both are pronounced with an "s" sound. With the ceceo dialect, however, both are pronounced with the "th" sound.
The distinción is a little different in that this dialect distinguishes between the "s" and the "z" or soft "c". Dialects that use the distinción, always pronounce the s as an "s" sound. However, they pronounce the "z" or soft "c" as a "th" sound (such as caza or ciento).
Per the question, Spain has a few dialects. Castillian Spanish uses the distinción, such that "siento ciento" (I feel 100) would be "s"iento "th"iento. However, throughout Spain, the dialects differ and some use the ceceo (using "th" all the time) and other regions use the seseo (using the "s" all the time).
Wikipedia on ceceo