Another update.
I removed the eyelet slug at the end of my thermocouple, to see if I could get a quicker response. It didn't seem to have any impact.
I've got a set of RTD probes on the way, but I'm still going to try my original idea of using my 40 gauge thermocouple (normally I wouldn't use them here, because they're very small, and a small thermocouple like this can oxidize quickly in relatively low temperatures ( > 100 deg C, which ruins the TC probe), but I'm running with "near room" temps here, so should be fine.
Otherwise I'm still seeing 0.2 degree C temperature reading jumps, and I haven't identified why yet. I'll plug my scope on it, and see if it'll help me figure out what's going on.
I might also try replacing the 1 foot long nichrome wire with recently acquired nichrome coil, to apply more power. If successfull, I might be able to apply enough heat to get a 40 deg C temperature rise, which would allow me to have the temperature controller run a self-programming routine.
Going over this thread, I realized that I've already spent over $100, just to create a test rig.
On related topics, I've begun tooling up for phase change, and I'll be building the cooling unit myself, for the environmental chamber that I'm putting together. Details in the forums:
http://xtremesystems.org/