We present a thermodynamic description of ultracold gases with dipolar interactions which properly accounts for the long-range nature and broken rotation invariance of the interactions. It involves an additional thermodynamic field conjugate to the linear extension of the gas along the direction of the dipoles. The associated uniaxial pressure shows up as a deviation from the Gibbs–Duhem relation in the density profile of a trapped gas. It has to vanish in self-bound droplets, a condition which determines the observed dependence of the aspect ratio on particle number. A tensorial generalization of the virial theorem and a number of further exact thermodynamic relations are derived. Finally, extending a model due to Nozières, a simple criterion for the freezing transition to a superfluid mass density wave is given.