As far as I know, it is a temp. diode, but I could be wrong, and it could also depend on the manuf/model.
For all recent CPUs there is one on the CPU itself (called the core temp if you're looking at the bios monitors), and most mobos have one right under or in the socket (called the die temp I think) or somewhere like that. Some video cards have one, some don't. F. ex., unless my memory is faulty, the Radeon 9800's have one, but the 9600's (except for the 9600XT) don't. No idea for nVidia.