Thrust is another name for force, and force is momentum per time.
In other words, to get thrust it is necessary to generate momentum and to keep on doing it.
Typically it consists of projecting matter (gas, plasma) away from the vehicle, and the momentum transferred to that matter results in equal and opposite momentum given to the vehicle.
The faster the matter is projected, the less of it you need.
That's why people are always looking for ways to project the matter with higher and higher speed.
Of course, the required energy goes as speed squared, so as speed goes up, energy really goes up.
Another far-out way to get momentum is by projecting light, because photons have momentum, but that takes an enormous amount of energy.
Then you have to ask where does the energy come from, and that's another question.
P.S. @tpg2114 mentioned solar sail, which is a way to get momentum by catching the solar wind.