I was reading a World War II book on D-Day and they are constantly using thermite grenades. I thought I would do a little research. Most varieties are not explosive, but can create short bursts of extremely high temperatures focused on a very small area for a short period of time.
They were used when time and/or stealth was needed to disable opposing military equipment. Thermate-TH3 is a mixture of thermite and pyrotechnic additives that have been found superior to standard thermite for incendiary purposes.
The primary military use for thermite is disabling artillery pieces, and it has been used for this purpose since World War II, such as at Pointe du Hoc, Normandy. Once placed in a breach, the fusing will cause that weapon to be useless.
Thermite is simply a mix of powdered iron oxide and powdered aluminum. Thermite burns hot enough to melt and warp steel. The aluminum oxide goes off as smoke leaving molten iron.
The reaction, called the Goldschmidt process is used in welding, like for railway tracks, metal refining, disabling munitions, and in incendiary weapons.