Does THHN wire need conduit?

THHN needs conduit or another approved raceway. It is an individual conductor, not a cable, and the NEC does not let single conductors run loose in walls, ceilings, or underground.

That covers the common questions in one stroke: not exposed, not stapled inside a stud bay, not direct-buried. Cable trays are the narrow exception, and only with tray-rated multiconductor assemblies or where 392 permits single conductors 1/0 and larger.

Underground, THHN alone is out even inside some fittings, because the insulation is not rated for continuous wet contact unless it is dual-rated THWN, which most modern spools are.

Inside EMT, PVC, or flex, THHN is excellent: high temperature rating, thin insulation, easy pulls.

Before you pull it, check ampacity with the THHN ampacity calculator, which derates for conduit fill and temperature automatically.