Often times, the thermostat will snap off of the wallplate with moderate pressure. Other times, there might be small screws holding the device in place. If you are unable to pull it off, please refer to your thermostat manufacturer's website or manual for removal instructions.
NOTE: Do not place your old thermostat in the trash if it contains mercury in a sealed tube. Contact the Thermostat Recycling Corporation at http://www.thermostat-recycle.org/ or 1-800-238-8192 for information on how and where to properly and safely dispose of your old thermostat.