We've got a couple of these. They came from WalMart, and cost around $10. They have a min/max memory, but I think you have to reset them to make them start over. Not real sure, because we don't really use that feature much.
There's lots of wireless digital thermometers that will do this. We've got one in the bedroom that projects the temp on the ceiling, and it has an alarm that will go off at a preset temp. Again - never used that feature, so don't know much about that option.