In recent years several proposals for thermodynamic cycles involving the compression and expansion of gas and thermal storage have been put forward as effective ways of storing energy. These include the work of Desrues [1] who proposed a thermal energy storage process for large scale electric applications, Isentropic Ltd [2] who were working on a pumped thermal energy storage system and Garvey who proposed storing wind energy using a wind driven thermal pumping system known as Wind-TP [3]. All these systems require a hot and a cold store capable of storing thermal energy which can later be used to generate electricity. The efficiency and ultimately the successful adoption of pumped thermal energy storage will depend on the effectiveness of the thermal stores. In this paper we compare the performance of a packed bed and a liquid thermocline as the cold store for an off-shore Wind-TP system. Simulations are used to compare the exergetic performance of the two options leading to the conclusion that a liquid thermocline has potential to be significantly more effective than a packed bed thermocline. An addition to a liquid store involving a sliding divider separating warm and cold fluid is proposed as a way of avoiding exergy losses associated with the smearing of a thermocline front.