I'm a doctoral student (in a fully funded applied statistics program) opting for the terminal master's degree with thesis due to personal reasons and the lack of fit in the program. However, I'm unsure whether it is better to write the master's thesis (option #1) or to take the master's degree without a thesis (option #2) - which option best puts me in a position for industry and the possibility of reapplying to a PhD program (in a different field) in a couple years.
Generally PhD programs require a significant amount of research. That being said, a Master's Degree with the Thesis option is a good indicator that you have applied rigorous and reviewed research methods in the past - and is therefore an example of what your future work may be.
As I was advised, "if there is any notion in your mind that you will pursue a PhD later in life - then you should take the Thesis option now."