When I am browsing a tag on Stack Overflow (e.g. multithreading), is there an easy way to add it to my front page/"favorite tags"? If I hover over the button, a "subscribe" link appears on the right, but it turns out to mean notification by e-mail.
Click on that star next to the "subscribe" link.
Hover the tag in a question listed in the page you reported as example; in the drop down that appears, click on the star you see at the left side.
(The screenshot shows the drop-down for android.)
This is valid for any tag shown, including the one that is common to all the questions listed in that page (in this case, multithreading). To say it all, it is valid in any page that lists questions, and their tags.