From Urban Dictionary:

Variation of 'kthxbye' – the internet bastardization of "OK, thank you, goodbye".

Generally used with contempt, or for hasty exit. See also – kthxbye
n00b: Hey man whats up? You going out tonight?

l337: Yeah I'm on the way to the club right now kthxbai

Origin

The origin of KTHXBAI is unknow. It could have originated on ICanHasCheezburger.com, or from people texting on phones. Know one will ever know.

Examples
Person: I gtg kthxbai
Nosrep: k cya

Person: Wanna play sum cod4?
Nosrep: Nah I g2g to bed kthxbai