You can construct your own thermocouple, by following the instructions at All About Circuits or at TeamDroid. All you need is metal such as a steel wire or nail attached to a copper wire. Connect the wire ends separately to a bread board, and use a multimeter to measure the voltage created by the temperature differences. Make sure that the multimeter is on low settings, such as milli-volts, and make sure that the wire is bare, and not coated. A bare wire will heat or cool better when placed in water and you won't have to worry about melting the insulation if you use a candle. Instead of a candle, you may use steam, boiling water, or even your own fingers. The finger trick works best with wires thin enough to absorb your heat.
As always, exercise caution when handling electrical circuits and devices above room temperature, lest you burn yourself or damage your equipment.
If you are feeling especially nerdy, keep track of the different metal and heat combinations on a spreadsheet and use the values to create and combine graphs. For example, one plot would be a steel-copper combination where the axes are voltage versus temperature. You would record and plot the voltages when your device is heated by steaming hot water at 100oC, your fingers at approximately 37oC, ice water at 0oC, water at room temperature (20-25oC), and the like. Instead of using these estimates, record the temperatures using a thermometer for more accuracy. Do the same for steel-iron or another metal combination, and overlay all your graphs on the same plot for comparison.