It is alcohol (no longer mercury) and it has been dyed red so that you can see its position. Actually, this is only the case for thermometers. The color means something entirely different in sprinklers.
In sprinklers, the color represents the rupture-temperature of the glass tube. At this temperature the glass bursts and the sprinkler independently activates. Here is the table:
Only those sprinklers in that area will activate (as the result of the heat), maximizing the water pressure in the affected area. If there are sensors on the pipes then the authorities will be automatically notified.
What is the red liquid in a thermometer?