In a subject-by-subject comparison essay, the thesis statement should be located in

In the introduction paragraph 

The correct answer is the introductory paragraph.

This is the paragraph that establishes what the essay would be about and contains a hook to make the readers want to read it. Putting it in body paragraphs would mean that it only applies to that subject while in reality you want to present the problem, that is the thesis, and then examine it on a subject-by-subject basis.