"Their" is third person, used when you are talking about people who are not present or who are not the people you are speaking to. "Your" is second person, used when you are talking about the people you are speaking to.
So if you are talking to the people you want to thank, you would say "thank you for your support". If you are telling group A that you appreciate that support you got from group B, you would say "I want to thank B for their support."
If you are talking to a group that includes both the people you want to thank and others who are simply part of the audience, either could be appropriate. If you identified the specific group, you'd probably use "their". Like, "I want to thank the people from the Foobar Department for their support." If you were speaking more generally, like in your example, "I want to thank you all for your support".
All the sentences you give are grammatically valid and would probably mean the same thing. (Always depending on context.)
Best Answer
You can write either as goose bumps (two words) or as goosebumps (single word).
However, the former is more common than the latter.