Lamp dimmer/rheostat: These decrease the current to the UTH, lowering the temp. They do not measure the temp, so you have to fiddle with them when the room temp changes.
On/off thermostat: you set a temp, usually with a dial. The stat measures the temp and turns the power supply off when it reaches the set temp (but the UTH temp will continue to rise a degree or two) and then the stat turns the power back on when the temp falls below a certain level. There is some swing in high/low temps, about 2-4 degrees of what you have set. You do not have to change your setting if the room temp gets warmer or cooler. The one I would recommend would be the Alife thermostat, available from The Bean Farm. Under $30.
Proportional thermostat: You set a temp, usually digitally. The stat increases the power to the UTH to raise the temp, but decreases the amount of power supplied as it nears the set temp, so the UTH does not go way over the set temp. When it reaches the set temp it stops supplying power, and when the temp drops to .5F of what is set, it turns back on, usually supplying 10% of the available power, increasing to 30%, 50% or even 100% depending on how fast the temp of the UTH is falling. This stat will keep the temp within a degree or two of what you have set. You do not have to change the setting if the room temp changes. The one I like is the Herpstat basic model, just over $100, or the Herpstat ND, about $125-135, which has more bells and whistles, such as a high/low temp alarm and a replaceable fuse. The owner of the company, Spyder Robotics, is a member here. Herpstat has EXCELLENT!!!!! customer service. This is the only kind of thermostat I would choose, because I want accurate temps, no fiddling with it, just set and forget, and reliability and technical support.
The third component of the heating triangle is the probed thermometer. This is important because if you purchase a decent thermometer, it will be more accurate than the cheaper thermostats, and you will set your rheostat or on/off thermostat according to the reading on the thermometer, not the stat. It will also give you a warning should the stat probe become dislodged and the stat behave erratically. You can also tell at a glance if your UTH has failed (which they do, occasionally).