It's thermal paste used on heat sinks and thermostats to conduct heat. Here is a good source: https://goo.gl/7jb6f7
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It's a high solids thermal paste used on thermostats up to 500F to conduct heat. It's expensive, so your best bet is to carefully scrape it off the old thermostat and apply it to the new one. Whatever you do, DON'T use thermal grease.