Something I like? Oh man. http://www.youtube.com/watch?v=R_uwZZB5Yv0, Fn Pig, deadmau5.
Off-topic: That music is awesome! I've known some of deadmau5 work, but never explored it fully. +1
This is a good song that shows you the thirds
Not only the thirds, but also the fifths.
In music, these are called Triads, or three note chords. And is not as straightforward as going for the exact third, you may need to lower it (aka flat) or raise it (aka sharp), depending on the base chord type (major/minor/etc) and other factors.
For example, if your base melody is:
C Am F G
and the vocals would follow the same note structure (I know, it would be a very lame song, but for the sake of example), you would have:
+ Chord + root Vocal + second Vocal +
| C | C | E |
| Am | A | C |
| F | F | A |
| G | G | B |
The third of "A" is actually "C#", but since the chord behind the vocals is a minor chord, we have to lower the secondary voice to "C". Otherwise it would just sound dissonant.
Obviously, I'm simplifying things a lot. It is a bit harder when the voice has it's own line, and you need to look for every third of every note and know if you have to lower/raise it or not. Shit, you can even not follow the root melody at all and come up with some different melody that fits harmonically.
Midlake is a good example of that, they mix a variety of vocals, each of which is doing it's own melody but they all fit together.