They used to be made with Mercury but that is longer used as it's toxic. The new ones use Ionic liquids ( ILS ) which are a form of liquid salts. Much more effective and non-toxic.
Mercury is the only ELEMENT that is used as an element in a thermometer. Most thermometers use most elements in compound form but I don't think that was what the question was really asking.
Mercury is the single element used in thermometers. If you were to a buy a thermometer from the store these days though, you'd probably find some sort of heat-sensitive compound, rather than a single element like mercury, as it is known to be highly toxic - even in small amounts.