I simply googled "another think coming" and the first two hits were:

http://wsu.edu/~brians/errors/thing.html
http://alt-usage-english.org/excerpts/fxyouhav.html

The consensus is that the correct phrase is "another think coming." That makes perfect sense, since the use of "another" implies a first, which would be the "think" in the first part of the sentence.

Fanfic | MVs

Clark: "Lois? She's bossy. She's stuck up, she's rude... I can't stand her."
Lana: "The best ones always start that way."

"And you already know. Yeah, you already know how this will end." - DeVotchKa