Since thick hair can get unruly, a spray with firm hold will probably give you the best results. The classic (and, let's be honest, basically The Queen of All Hairsprays) is L’Oréal Elnett Extra Strong Hold, which could probably withstand gale force winds, makes a great Scotch tape substitute, and definitely keeps hair from frizzing in humidity. Or moving, for that matter. At all. Best for bouffants, teasing, chignons, and any other time your number one priority is keeping that coiffure in place.
If you've got something a little more shapeable in mind—you're wearing your hair down, you want something that doubles as finishing spray, etc—consider Aveda Control Force. It's still pretty tough stuff, but the formula's more flexible, so it doesn't flake off or get all crunchy.
For extra smoothing, Catwalk Your Highness is also a great option; it's silk-infused for softness and heat protection, too.