This article is from the alt.usage.english FAQ, by Mark Israel email@example.com with numerous contributions by others.
"If you think that, you have another think coming" means "You are
mistaken and will soon have to alter your opinion". This is now
sometimes heard with "thing" in place of "think", but "think" is the
older version. Eric Partridge, in "A Dictionary of Catch Phrases",
gives the phrase as "you have another guess coming", "US: since the
1920s, if not a decade or two earlier". Clearly "think" is closer
to "guess" than "thing" is. The OED gives a citation with "think"
from 1937, and no evidence for "thing". Merriam-Webster Editorial
Department writes: "When an informal poll was conducted here at
Merriam-Webster, about 60% of our editors favored 'thing' over
'think,' a result that runs counter to our written evidence."