I was trained to always match a 24 volt t-stat with a 24 volt gas valve, and a millivolt t-stat with a millivolt gas valve. What is the deal with the t-stats that I am seeing in the hardware stores that say they are compatible with either 24v or millivolt systems?

Some are configured to handle either and some have a pin or switch to set. Since millivolt units still exist they still need to make some stats, and by combining the two kinds they are money ahead.

Yep, you have to set the thermostat up for one or the other. It tells how in the intruction manuals. If the stat is being used on a millivolt system, the thermostat requires batteries. Its kind of a nice option, as retail stores don't have to stock so many different stats.

Been years since working on a milivolt system, Correct me if wrong, the heat of the flame generates the voltage to hold valve open?

Correct Stratmando. But milivolt systems that have a thermostat, the current actually runs through the thermostat first, that's why you need a special(milivolt thermostat). But with the new ones that are compatible with 24v, or milivolt, need batteries for the thermostat to work with the milivolt system, otherwise the thermostat will rob too much power for the power pile milivolts to power the gas valve. In this case, the batteries only power the thermostat itself, so the thermostat doesn't rob any power like a 24v stat would. On a millivolt system, the voltage generated by the flame through the powerpile also travels through any limits (and the thermostat) before powering the gas valve. Even though the powerpile is hooked directly to the gas valve ( because it senses the pilot also, and this is how it keeps the pilot lit) there is usually another terminal on the gas valve for the thermostat wire. Some old milivolt systems were not compatible with a thermistat, there was just a knob on the gas valve to turn the heat up or down.