The cosmic X-ray background (CXB) is thought to be mainly produced by obscured and unobscured active galactic nuclei (AGN). Compton-thick (CT-) AGNs (with absorbing column density NH >1024 cm-2) are responsible for ~30% of the CXB at its peak and are expected to be numerous in population. However, as of today, CT-AGNs have never been detected in large numbers, with their observed fraction in the local universe being only ~5-10%, significantly below the predictions of population synthesis models (~30%-50%). Here we report on an efficient selection of CT-AGN using Chandra and Swift-BAT data, which has been instrumental to increase the number of known CT-AGN in the local Universe. This program has enabled us to investigate the intrinsic fraction of CT-AGN and better understand the physics of the obscuration process in AGN.