We are traveling between Amsterdam-Brussels and Brussels-Paris next month. We would prefer not to reserve a train ticket so that we can decide as we go when we'll depart. Can I purchase tickets for Thalys at the train station prior to boarding? Is there a risk of the train we want being full if we don't reserve? Is there any benefit to advanced reservations?
Yes, you can buy at the last minute if you like to pay top dollar. If by some odd circumstance the train you want is full, there will be another in 2 hours.
You can do Amsterdam-Brussels on non high speed trains, changing at Den Haag.
To see what "top dollar" entails, look at trains for tomorrow at http://www.thalys.com. If you don't mind paying those prices, no need to reserve ahead. If you want to pay less, you should book ASAP.
I would probably go with Marco's suggestion of the non-Thalys train from Amsterdam to Brussels. Two weeks ago I did the Amsterdam (actually Schiphol) to Brussels on the intercity train and went back to Amsterdam a few days later on the Thalys. I was surprised that the Thalys was much more crowded (some people were actually standing) and the seats were more cramped. Time-wise the Thalys was better but next time I will probably just go for the Intercity for less money and a little more time. Our change was at Rotterdam.