In recent years, the community has presented various novel solutions to address the lack of haptic feedback in virtual reality experiences. Yet, it remains a major challenge for Virtual Reality applications. Encountered-type Haptic Displays (ETHDs) have emerged as a promising alternative to enable haptic feedback in VR without requiring the user to wear any device while allowing for sensorily rich experiences such as texture, kinaesthetic feedback, and even ultrasonic tactile feedback. Nevertheless, as important as thermal feedback is for daily life interactions, such as assessing the temperature of a mug or knowing if the microwave is on, thermal feedback in ETHD has remained largely unexplored. In this paper, we present a novel ETHD that provides thermal feedback and explore its potential in VR. We describe the design of our ETHD, and we report the results of a user study that compares different thermal feedback settings in VR. Our results show that thermal feedback can significantly enhance the user immersion and haptic experience in VR, and we discuss the implications of our findings for the design of ETHD and VR experiences.