Leveraging electrochemical and thermal energy storage systems has been proposed as a strategy to reduce peak power in data centers. Thermal energy storage systems, such as chilled water tanks, have gained increasing attention in data centers for load shifting due to their relatively small capital and operational costs compared to electrochemical energy storage. However, there are few studies investigating the possibility of utilizing thermal energy storage system with resources to provide ancillary services (e.g., frequency regulation) to the grid. This paper proposes a synergistic control strategy for the data center with a chilled water storage providing frequency regulation service by adjusting the chiller capacity, storage charging rate, and IT server CPU frequency.Then, a three-stage multi-market scheduling framework based on a model predictive control scheme is developed to minimize operational costs of data centers participating in both energy and regulation markets. The framework solves a power baseline scheduling problem, a regulation reserve problem, and a realtime power signal tracking problem sequentially. Simulation results show that utilizing the thermal energy storage can increase the regulation capacity bid, reduce energy costs and demand charges, and also harvest frequency regulation