Like Geo, I find it comforting to have something in my mouth while I'm being dressed or changed.
Whether the 'something' is a pacifier, bottle nipple or my thumb isn't particularly important to me.
I'll suck my thumb if I'm not offered a pacifier, but the paci is still my first choice. However, my nanny says she enjoys watching me suck my thumb. She says the paci isn't as 'cute' as thumb sucking.