There are no Electric, Steel, Ghost, Flying, Bug, or Rock-type Pokémon that have Thick Fat.
While the Ability makes sense in terms of which Pokémon have it (mostly animals with large amounts of body fat like seals, sea lions, walruses, pigs, bears, and cows) it's actually rather redundant in most cases due to the fact that most Pokémon who have it naturally resist Fire-type and/or Ice-type moves due to their typing. The only Pokémon so far to receive significant benefits from Thick Fat are Mega Venusaur (Grass is weak to both Fire and Ice) and Appletun (while Dragon's resistance to Fire cancels out Grass's weakness to Fire, both Grass and Dragon are weak to Ice). In addition, several Pokémon that one could reasonably expect to have Thick Fat, either due to the real species they're based on having thick fat or large fat deposits in real life (Teddiursa, Ursaring, Wailmer, Wailord, Kyogre, Numel, Camerupt, Piplup, Prinplup, Empoleon, Emboar, Cobalion, Gogoat, Cubchoo, Beartic, Popplio, Brionne, Primarina, Stantler, etc.) and/or the Pokémon themselves appearing fat (Stoutland, Greedent, Togedemaru, Dedenne, female Indeedee, Honchkrow, Pancham, Pangoro, Diggersby, Bidoof, Bibarel, Floatzel, Drilbur, Excadrill, Skuntank, Zangoose, Slaking, Typhlosion, Terrakion, etc.) or appearing to have large fat deposits such as humps (Tauros, Bouffalant, Numel, Camerupt, Terrakion, etc.), don't have it.
The fact that the Ability defends against Ice moves is understandable, but the fact that it defends against Fire-type moves is odd considering that fat is both flammable and produces heat. However, when fat is concentrated in one place (such as in a camel's hump), it can actually prevent an animal from overheating.