I looked at some fractals on the net recently and have become interested.
There is one program that is multi threaded: Ultra Fractal.
this is an excerpt from the site:
"Ultra Fractal will run on any Pentium-class processor, but Core Duo, Pentium M, Pentium 4, or AMD Athlon processors are recommended for best performance. Ultra Fractal 5 will seamlessly take advantage of multi-core and multi-processor systems, so this is definitely recommended."
Ultra Fractal: Advanced Fractal Animation Software
a good source for seeing fractals is here:
Browsing deviantART
Note: have a look at the "fractal" thread in the Graphic cards section of this site. there's a program that uses CUDA capable GPU's.