That thump, thump sound is sooo pleasing, well at least to me. The sound though, is simple physics and results from the big blades slapping through the air. Well slapping through the air and separating the air, and as it slaps back together it creates that familiar sound, in the same way that lightning creates thunder, when it splits the air and comes clapping back together.
Of course, there is a little bit more going on than JUST that. You have other things interacting with the main rotor blades, which is the tail rotor. Since it's smaller, it turns faster but is still in synch with the RPMs of the main rotor, but I'm trying to keep things simple in an explanation.
Heuy helicopters have a very distinctive/different sound, due to less blades spinning around in that rotor plane. A Heuy only has two blades, whereby most other copters have 3-4 and some 5 blades. Unless they are the really big lifting type copters, which have more blades and of course that would be making yet a different noise. Then there is the Chinook which has a double set of 4 blades and again, yet another distinctive sound.
There is also another sound difference, such as when you have an enclosed tail rotor, or no tail rotor, like the jet copters that have a deflecting plate (called a NOTAR) which directs the jet engine blast in a variable direction, to offset the torque of the main engine turning the main rotor blade, in the same way a conventional tail rotor does. Encased tail rotors that have in effect, a duct around the tips, don't throw the air out for the main rotor to slap around and of course the NOTAR has no air being thrown around by a prop, so there is yet a different sound to those helicopter's main rotor.
A helicopter main rotor rotates quite slowly in the few hundred RPMs range, compared to a conventional fixed wing prop driven aircraft, whose prop rotates in the thousands of RPMs. Because it turns so slowly, we can actually hear the individual claps of the air coming back together again as it has been disrupted by the main rotor or the main rotor also hitting the tail rotor's messy air, being thrown off at its tips.
If you have ever been to an airshow and seen the old T-6 type aircraft and heard them in the sky, you will hear that warble sort of sound of their props too. That sound is generated in the same sort of way as copter rotor blades, but the prop is smaller of course and spins faster, so it is more of a constant whine, rather than individual thumps. Think of a slow flashing strobe, light a police light, which you can just about count, and a high-speed strobe, which almost looks like a constant light source.
The noisy sound you hear coming and going in the T-6 type piston engine powered prop, is the props turning fast and the big fat prop blades are cutting through the air, especially when pitched up, causing the prop to cavitate and the parted air, as it comes back together again, is making that slapping noise (again like thunder does, when split by lightening) then sliced apart again by the following blade.
There is too much to type out, but I hope this helps to make those still wondering, why you hear that very satisfying sound.