Watch the Index-thumb Picking online guitar lesson by Muriel Anderson from 50 Right-Hand Techniques You Must Know
The example that I give is the beginning of "Blue Angel" by Nato Lima. It was recorded by Los Indios Tabajaros and by Chet Atkins.
Some guitarists like studio player Brent Mason can get very fast leads using this technique. It has a different sound than the flat pick, as the thumb has a naturally heavier sound than the finger, producing a nice lilt.