Place a large cast iron skillet in oven. Turn heat on and set to 450°. Let skillet heat in oven for 30 minutes.
Pat chicken thighs dry with paper towel. Season each side with salt and pepper. Sprinkle Cajun mix on bottom of thigh first, then flip and evenly coat the top, rubbing gently into skin. Turn oven down to 400°.
Place preheated skillet on stove top over medium heat. Add the oil and swirl over bottom. Add the chicken thighs, skin side down, to the pan and sear until brown, almost black, about 4 - 6 minutes. Turn thighs and brown other side for 2 - 4 more minutes.
Place skillet back in 400 degree oven and bake until cooked through and juices run clear, about 30 - 40 minutes, depending on size of thighs. Remove to plate, defat pan drippings, and serve with pan juices on the side or drizzled over chicken.
You can use 4 - 6 thighs, depending on size and what will fit in your skillet.