The thermistor is probably the easiest, normally has two terminals and bead shape sensor. Without touching the component, i.e. just move by leads, use the ohms range and measure the resistance at room temperature. Then place your fingers on the component and the resistance should change quite a lot. It will go up or down according to the positive or negative temperature coeficient.
RTD is similar to thermistor but as a resistor of about 100R + or 1000R + at room temperature. Measure the resistance, then apply fingers to heat and you wil see a small positive resistance change from a cooler ambient. Can be 2,3 or 4 wires costruction.
Thermocouple will appear as a short circuit, as it only generates microvolts will be difficult to see voltage on most meters. They are two wire and have no physical component, i.e. it's just a junction of dissimilar metal wires.