We present a theory of the thermal Hall effect in insulating quantum magnets, where the heat current is totally carried by charge-neutral objects such as magnons and spinons. Two distinct types of thermal Hall responses are identified. For ordered magnets, the intrinsic thermal Hall effect for magnons arises when certain conditions are satisfied for the lattice geometry and the underlying magnetic order. The other type is allowed in a spin liquid which is a novel quantum state since there is no order even at zero temperature. For this case, the deconfined spinons contribute to the thermal Hall response due to Lorentz force. These results offer a clear experimental method to prove the existence of the deconfined spinons via a thermal transport phenomenon.