What is The Thing? Come and see for yourself. It is 17 miles east of Benson and about 40 miles east of Tucson on Interstate 10 (Exit 322) in Arizona. Look around the spacious gift shop and purchase a few gifts, a couple of pieces of Indian Handmade jewelry, some pottery, or one of the many other items available at this location. Be sure to visit the museum to see The Thing? The 100% climate-controlled museum is a MUST-SEE destination in the Arizona desert.