If an object is heated or cooled and it is not free to expand or contract (it's tied down at both ends, in other words), the thermal stresses can be large enough to damage the object, or to damage whatever the object is constrained by. This is why bridges have expansion joints (check this out where the BU bridge meets Comm. Ave.). Even sidewalks are built accounting for thermal expansion.

Materials that are subjected to a great deal of thermal stress can age prematurely. Airplanes are good examples - over the life of a plane the metal is subjected to thousands of hot/cold cycles that can weaken the airplane's structure.

Another common example of thermal stress occurs with water, which expands by about 10% when it freezes. If the water is trapped in an enclosed space when it freezes the ice can exert significant pressure on the container.