If you are using a power stealing thermostat on a system that has a control board, you need to put a resistor between W and C. Most power stealing thermostats come with the resistor.
It is needed because, on many control boards, W doesn't operate any relays and doesn't have a good low impedance path to ground. Usually W goes to a transistor on the board that is acting as a switch for the power to whatever relays need to be energized.