Density functional theory (DFT) has become the most popular approach to electronic structure across disciplines, especially in material and chemical sciences. Last year, at least 30,000 papers used DFT to make useful predictions or give insight into an enormous diversity of scientific problems, ranging from battery development to solar cell efficiency and far beyond. The success of this field has been driven by usefully accurate approximations based on known exact conditions and careful testing and validation. In the last decade, applications of DFT in a new area, warm dense matter, have exploded. DFT is revolutionizing simulations of warm dense matter including applications in controlled fusion, planetary interiors, and other areas of high energy density physics. Over the past decade or so, molecular dynamics calculations driven by modern density functional theory have played a crucial role in bringing chemical realism to these applications, often (but not always) with excellent agreement with experiment. This chapter summarizes recent work from our group on density functional theory at non-zero temperatures, which we call thermal DFT. We explain the relevance of this work in the context of warm dense matter, and the importance of quantum chemistry to this regime. We illustrate many basic concepts on a simple model system, the asymmetric Hubbard dimer.