The thermocouple is a device that generates electricity when heat is applied to the tip of it.

Copper Tube Thermocouple
The tip of the thermocouple sets in the burner flame, and the nut at the other end of the thermocouple screws into the top of the safety valve, or other device. Since part of the conductor is a copper tube, the connection at the safety valve appears to be some sort of a propane plumbing connection. It's not. It is an electrical connection. Inside the copper tubing is a wire which is insulated from the tubing. These two parts (the copper tubing and wire) make up the "wiring" for an electrical circuit. At the end of the thermocouple is an insulator that keeps the inside wire from touching the nut which has contact with the outer copper tube. This type of thermocouple generates between 14 and 30 millivolts when heated. The connection to the safety valve should be snug, but not over tightened. Too tight of a connection will flatten the insulator and cause a short circuit.

Wire Type Thermocouple
This type of thermocouple is essentially the same as the one above, except that it has two wires coming from the tip instead of the copper tubing. When heat from the burner is applied to the tip of this thermocouple it will produce between 25 and 35 millivolts. This can be measured at the connectors at the end of the wires.