Thermal characterization of Phase Change Materials (PCMs) based on linear low-density polyethylene (LLDPE), paraffin wax (W) and expanded graphite (EG) is reported in this paper. Investigated PCMs showed high potential for application in energy storage systems. The latent heat, Lm, sensible heat Qsens, and the ability of the prepared PCMs to store and release thermal energy were investigated using specific home-made equipment based on the transient guarded hot plane method (TGHPT). The sensible heat of PCM containing 40 wt.% of paraffin wax was investigated in the temperature range 25–35 °C, they exhibited a drop in Qsens from 31 to 24 J/g depending on the concentration of EG. A similar decrease in sensible heat with increased loading of EG was observed for PCMs containing 50 wt.% of EG. The storage and release of thermal energy during phase change which is associated with the latent heat of the materials were investigated within the temperature range 20–50 °C. PCMs containing 40 wt.% of paraffin wax exhibited latent heat of 36 J/g, whereas the latent heat of PCMs containing 50 wt.% of paraffin wax was 49 J/g. The addition of EG decreased the time needed to melt and solidify PCMs due to increase in thermal conductivity of PCMs with increase in EG content. This behavior was confirmed by the thermal conductivity measurements, where thermal conductivity increased from 0.252 for sample without EG to 1.329 W/m × °C for PCM containing 15 wt.% of EG. The reproducibility of storage and release of thermal energy by PCMs was demonstrated by subjecting them to repeated heating and cooling cycles (over 150 cycles).