In Castile (as well as in most of the rest of Spain), we do have the "th" sound. I'm told they have it in Equatorial Guinea too but I can't tell you for sure.
Just out of curiosity, Is the /ks/ sound for /x/ still used by some people/on some contexts on the variant of Spanish that you speak?
As I said, there is only a "th" sound if you are trying to imitate king Ferdinand's lisp, or so goes the urban legend. And why you will hear it troughout Spain and not outside of it, or perhaps only in Equatorial Guinea since only if in Spain would one be interested in this imitation. But it's apparently an urban legend.
The letter Z is called the Zeta, seta, ceta. There is a type of mushroom also called the seta. You may have seen it in pilgrim menus in the revuelto de setas, scrambled eggs and mushrooms. There is a tongue in cheek of refering to Spaniards as "escupa setas", or those who spit out setas, a play on the the "z" and the mushroom, those who spit out the lettre z, or mushrooms.
As for the Ks used for the x, it's my understanding and experience that it is used in the Yucatan peninsula of Mexico. For example, Mexico is typically pronounced as if the x was a j, "Mejico", but in Yucatan many places that have the X in their name are pronounced with the ks or tch sound, like the resorty area of excaret, sounding something like etchkaret or ekskaret.
Ah, and then there is the accent used in Paraguay. Took a a solid 4 days before starting to undersand it. Very embarassing whe you are attending a number of presentations being made to you for days on end. It's not so much the accent but the way the R tends to disappear, replaced by an L or somesort. Not unlike in Japanese. Same with the "i" which is a bit muddled, more like a ui. I have been told this is because of the Guarani language, even if for many years it was forbiden until being reinstated as one of the official languages and being taught in school again.
If you want to have some fun with Spanish accents, vocab and expressions, nothing beats signing up for "latino" cable service. For example, in Colombia, instead of "como le va" they will,add a "me" in there to "como me le va", as if there was some sort of reprocicity in the question.