How to compare dipole moment in thiophene, furan, and pyrrole?
As another (downvoted) answer points out, the key to this comparison involves the heteroatom donating an electron pair to the ring in the aromatic compound.  This shifts the negative charge away from the heteroatom's corner into the ring.  Thus we either do not get as much of a negative end at the electronegative heteroatom's corner, or with a stronger interaction we can reverse the dipole.  In the examples shown, pay attention to the directions as well as the numbers of the given dipole moments!

Clearly nitrogen has this stronger interaction, while oxygen and sulfur give the weaker effect, with a reduced but not reversed dipole moment.  Oxygen is so electronegative that even in forming the aromatic ring it donates an electron pair only weakly.  The large sulfur atom has lower electronegativity, but overlaps poorly with the smaller carbon atoms. (In the nonaromatic tetrahydrothiophene, the larger size of the sulfur atom makes the dipole longer and thus may give a larger dipole moment with less charge separation.)  Nitrogen in pyrrole has the moderate electronegativity and strong overlap which, together, enable the stronger interaction.