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In the era of ubiquitous computing with flourished visual display in our surroundings, the application of haptic feedback technology remains in its infancy. Bridging the gap between haptics technology and real world to enable ambient haptic feedback on various physical surfaces is a grand challenge in the field of human-computer interaction. To create immerse experiences in the virtual world, we need to explore different human senses (sight hearing, smell, taste and touch). Haptic feedback has an important role in virtual reality and enhancing immersion of user experience. Many different devices have been developed by both industry and academia towards this aim. Although tactile senses are important in daily life because actual contact is how a variety of tactile information is received, current virtual reality technology mostly uses visual and audio senses to physically reproduce the virtual environment. Thermal displays are designed to display thermal indications to make object detection easier in virtual environments. A foundation for analyzing the design of thermal displays is supplied by thermal perception and the mechanism that underlies the processing of thermal information. A vast amount of research on thermo-haptic devices and functional materials has come together to create the basic framework for the creation of wearable thermal virtual reality systems. An overview of thermal perception, different physical mechanisms, and research that may be used in thermal virtual reality technology in the future is given. The review's conclusion examines the advantages and limitations of utilizing thermal display in virtual reality.