I quickly plunged a room-temperature thermometer into very hot water, the mercury level went down briefly before going up to a final reading. Why?
As it was done quickly, the mass of the mercury remained at room temperature for a short period of time, even as the thermometer itself (including the metal bulb) began to heat.
I suppose it is possible that even though it is a tiny portion, the metal bulb expanded sufficiently so that the volume inside the bulb increased and the level of the mercury went down.
Shortly after the mercury itself heated and you were able to see the expansion.
Instead of the expansion of the bulb which should be slight, it might also be the air in the thermometer.
According to wikipedia, it is filled with nitrogen or air at lower than 1 atm.
When we compare this small mass of gas with the "large" mass of mercury, it will most likely heat up faster even with regards to heat capacities.
At room temperature, most household thermometers will have more air volume than mercury volume. This also means a larger surface area for conduction then convection.
As the air heats up, it will expand, pushing the slow-heating mercury down. The mercury will push back as it slowly heats up.
Pretty much, it is a race, and the air is faster.