After removing the cover plate, if a clear glass ampoule with a silver liquid inside is visible in a thermostat, the unit contains mercury. If it is a new thermostat still in the packaging, look for the chemical sign for mercury, which is "Hg," on the container.
Most new thermostats do not contain mercury, and many states ban the sale of thermostats that do. Most states also ban the disposal of mercury containing thermostats in the trash. Generally, there is a designated hazardous waste drop off location or a certified recycling program. Some states even offer a cash incentive to remove and recycle mercury thermostats.