A thermal fade is a phenomenon of wireless signal degradation (fading) caused by temperature and relative humidity factors. As the prevailing environmental conditions change, for example, from hot to cool, humid to arid or day to night, the electromagnetic waves refract differently thus altering the power distribution and possibly the direction of the signal. This is the same process that causes visible light to "bend" on hot days over a road or other surfaces.
This is a serious problem for AM broadcasting but less so with FM broadcasting. Thermal fading can occur in almost any frequency band.
References
Thermal fade Wikipedia(Text) CC BY-SA