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Thermocouples maker use of the Seebeck effect, discovered in 1822. This is where two dissimilar metal alloys produce an electromotive force (EMF is a fancy way of saying "voltage") that is nearly proportional to temperature. Without getting into a lot of boring theory, the problem with thermocouples is that once you connect a pair of copper wires to them and run it to your voltmeter, you've created three dissimilar metal junctions, which introduce errors to the measurement. Also, a second junction at a known temperature is required for useful thermocouple temperature measurements. In the past that meant having an icebath out in the lab for the cold junction. Thankfully, many DVMs (digital voltmeters) have a built-in cold junction for thermocouple temperature measurements; all you do is hook up the proper thermocouple and set the DVM to "temperature". DVMs such as Fluke 180 series allow you to plug in a K thermocouple and read degrees F or degrees C (your choice).
There are two mistakes that any lab rat can make when hooking up a thermocouple: you can hook them up backwards, or you can use the wrong type of thermocouple. Either way might give you a believable but incorrect reading; these should be reasons enough to stay away from using thermocouples for critical experiments unless you or your supplier knows your science.
A company that knows more about temperature measurements than we do is the Omega company, check out their discussion of thermocouples on their web site. They'll also sell you any type of thermocouple you want, including some with adhesive strips built in.
Thermocouples have been assigned alphabetic types, and have a color code. Some of the more popular ones you might use in the lab are types J and K. They are color-coded, but the color codes depends on what country you are in. We are in the USA, so we'll give you the colors from our point of view. Here is the full color-code story on the Omega website.
Type J thermocouple uses a junction of iron and constantin (constantin is an alloy of nickel and copper). This thermocouple can be used over a range of 0 to 750 degrees Celsius. The white lead is positive, this is the iron lead. The red lead is copper nickel (negative connection).
Type K thermocouple uses a junction of nickel-chrome and nickel aluminum. This thermocouple has a useful range of -200 to 1250 degrees C. The nickel-chrome lead is positive and is yellow. The nickel-aluminum lead is red (negative connection).
Tables of thermocouple EMFs have been compiled by NIST and are available by clicking here.