Thermocouples are best used for measuring temperatures that can go above 100 °C. This is a bare wires bead-probe which can measure air or surface temperatures. Most inexpensive thermocouples have a vinyl covering which can melt at around 200 °C, this one uses a fiberglass braid so it can be used in high temperature measurements such as heaters and ovens. There's a small piece of heat shrink on the end to keep the fiberglass from fraying. If you're using at >250°C temperatures, simply remove it with a small blade.
We have a handy tutorial which covers thermocouple use including an Arduino library and example code!