What is a thermocouple...
Let's split the word: 'thermo and couple'. This means that it has to do with temperature and a couple (two).
In the 19th century Mr Seebeck discovered that there was an electrical current flowing through a couple of metal wires (of different material) when they where joined at the two ends and if the two ends where at different temperature. This meant that if you could measure the current and the temperature of one end, you could calculate the temperature at the other end.
In earlier times the temperature of the first end (the reference junction) was kept at melting ice temperature (called the cold junction). Nowadays we measure the temperature of the reference junction electronically, do some calculations and display the result.
Two things on thermocouples must be said: first of all depends the relation between electrical current and temperature difference on the different metals used in the two wires and secondly it is absolutely non linear. From the first remark follows that there are different types of thermocouples (for different applications and ranges). So make sure that you have a thermocouple and an instrument for the same thermocouple type. Out of the second remark we learn that the mentionned calculations can compensate only partially with the linearity errors, which restricts the accuracy.
What is a Pt100...
As for the thermocouple, we split the word: Pt100 and 100. Pt is the chemical symbol for Platinum, 100 is the resistance in Ohm of the Pt100 at 0 °C. The resistance changes (fearly linear) with temperature are: 0.385 Ohm/°C for European and 0.392 Ohm/°C for American elements. So, by measuring the resistance we can calculate the temperature. Never use a European Pt100 with an American instrument unless you know that it is set for the right conversion factor (usually called 'alpha'). In english a Pt100 is also called a RTD element, meaning Resistance Temperature Detector.
What is the difference between 2, 3 and 4 wire Pt100 sensors...
An RTD or Pt100 sensor is connected with two, three or four wires to the measuring device. From What is a Pt100? we learned that we are in fact measuring resistance to determine the temperature. Now when measuring the resistance of the sensing element, we also measure the resistance of the leads and cables used. This gives an error! To compensate for this, the three wire type (bridge) is used, giving enough accuracy in most industrial applications. Even better accuracy is possible with a four wire Pt100 (laboratory applications). Our Pt100 panel mounted .indicators have an offset compensation when using two wire sensors
What thermometer should I use: thermocouple or Pt100 ...(RTD) type
This depends on your application and it is not possible to give a straightforward answer. Most important things to be considered are: temperature to be measured, accuracy and response time.
If the temperature you're interested in is above 650°C, use a thermocouple. You can find Pt100 sensors going up to 850°C, but only at a lesser accuracy.
If you want high accuracy, for example better then 0.5°C between 0 and 100°C, go for the Pt100.
If you want a fast measurement, e.g. when using portable instruments, use a thermocouple sensor.