A thermal diode in this sense is a device whose thermal resistance is different for heat flow in one direction than for heat flow in the other direction. I.e., when the thermal diode's first terminal is hotter than the second, heat will flow easily from the first to the second, but when the second terminal is hotter than the first, little heat will flow from the second to the first.
Such an effect was first observed in a copper–cuprous-oxide interface by Chauncey Starr in the 1930s. Beginning in 2002, theoretical models were proposed to explain this effect. In 2006 the first microscopic solid-state thermal diodes were built. In April 2015 Italian researchers at CNR announced development of a working thermal diode, publishing results in Nature Nanotechnology.
Thermal siphons can act as a one-way heat flow. 
Heat pipes operating in [https://www.1-act.com/resources/heat-pipe-fundamentals/different-types-of-heat-pipes/diode-heat-pipes/ gravity] may also have this effect.