And re the continuity test, I've a feeling you are Canada but N America anyway so might well have a "Radio Shack" near you. If you haven't got one, go out and get youself a cheap mulitmeter - I'd suggest a digital one as they are more robust. I think my own (UK) cost about £20 but you could easily 1/2 that. I do use mine for a bit more than this but they are handy to have around even if all you want to do is confirm whether a fuse is blown or to find if a battery really has some voltage, etc.

My meter (and maybe most now do) has a continuity setting that gives a bleep but one with just ohms (which they all have) is fine. A switch like the thermostat should be showing close to infinate resistance when open/off and close to zero when closed/on.

Joe mentioned the bulb one. You need a battery for that. You just make a circuit so that the swich is the thing you want to test. Your light shold come on when the thermostat is on.

One big thing in all this though is make sure your thermostat is not connected to the mains in any way when you try to test it. Take it off the wall and have no mains connected. If it is a type relying on mains for a timer or programmer, I'd suggest you leave it alone or get a professional in unless you are fully sure of what you are doing I think even on your 110V (certainly is on our 240) a mistake could be fatal and at a minimum very unpleasant.