Melt 2 tablespoons butter in heavy small skillet over medium heat. Add shallots and sauté until brown, about 4 minutes. Cool. Combine remaining 6 tablespoons butter and thyme in small bowl. Add shallot mixture and blend well. Season to taste with salt and pepper. (Butter can be prepared 2 days ahead. Cover and refrigerate. Bring to room temperature before serving.)
Prepare barbecue (medium-high heat). Brush corn with olive oil. Grill corn away from direct heat until just cooked and beginning to brown in a few places, turning frequently, about 10 minutes. Alternatively, omit brushing corn with olive oil and cook in large pot of boiling salted water until tender, about 6 minutes, drain. Serve corn with shallot-thyme butter.