We have carried out thickness dependent first-principles electronic structure calculations on ultra-thin films of transition-metal dichalcogenides MX2 (M = Mo or W; X = S, Se, or Te). When spin-orbit coupling (SOC) is included in the computations, monolayer MX2 thin films display spin-split states around the valence band maximum at the Brillouin zone corners with nearly 100% spin polarization. The spins are aligned oppositely along out-of-the-plane direction at the K and K' points. For the bilayer films, spin polarization of this SOC induced band splitting can be switched on or off by an out-of-the-plane external electric field. The spin-polarized states are weakly coupled between the layers in bulk MX2 compounds with small kz dispersion. We confirm a transition from an indirect to direct band gap as the thickness is reduced to a monolayer in MoS2, in agreement with recent experimental findings. Owing to the presence of a large spin-splitting energy and an insulating band gap, MX2 compounds have great potential for spin/valley electronic applications at room temperature.