The thermodynamic limit is essentially a consequence of the central limit theorem of probability theory. The internal energy of a gas of N molecules is the sum of order N contributions, each of which is approximately independent, and so the central limit theorem predicts that the ratio of the size of the fluctuations to the mean is of order 1/N. Thus for a macroscopic volume with perhaps the Avogadro number of molecules, fluctuations are negligible, and so thermodynamics works. In general, almost all macroscopic volumes of gases, liquids and solids can be treated as being in the thermodynamic limit.
For small microscopic systems, different statistical ensembles (microcanonical, canonical, grand canonical) permit different behaviours. For example, in the canonical ensemble the number of particles inside the system is held fixed, whereas particle number can fluctuate in the grand canonical ensemble. In the thermodynamic limit, these global fluctuations cease to be important.
It is at the thermodynamic limit that the additivity property of macroscopic extensive variables is obeyed. That is, the entropy of two systems or objects taken together (in addition to their energy and volume) is the sum of the two separate values. In some models of statistical mechanics, the thermodynamic limit exists, but depends on boundary conditions. For example, this happens in six vertex model: the bulk free energy is different for periodic boundary conditions and for domain wall boundary conditions.