The housings are mainly for environmental protection and ease of mounting. glass is chemically inert, ceramics are good for high temperatures, stainless is good all around. Generally unless you have a chemical reason not to use stainless is the way to go. I mainly use stainless or weld the thermocouple to the object of interest. Though most the the cryogenic systems I have used use silicon diodes instead of thermocouples for temperature measurement.