In Parshat Yithro we read that he [Yithro] offered sacrifices "before HaShem":
Sh'moth (Exodus) 18.12: "Then Moses' father in law, Jethro, sacrificed burnt offering[s] and [peace] offerings to God, and Aaron and all the elders of Israel came to dine with Moses' father in law before God."
Why?
(Links to commentaries on Shemos 18:12)
Seforno there suggests that it was a sign of the completion of his conversion to Judaism, that he would now only be sacrificing to Hashem, not to any other Gods (as seen similarly in Melachim 2 5:17).
Or Hachaim there suggests that it was to make a great feast for all of the "Gedolei Yisrael", who, as dictated by the verse, attended.
RDZ Hoffman there combines the two above answers, calling it a "Seudas Beris", meaning that this was a great feast in honor of the completion of his conversion, together with the new party he had just joined (similar to Bereishis 31:54).
(Ralbag there notes that this is an indication that the Mishkan and Mizbeach were already standing at this point, in which case, many people would (and likely did) bring Korbanos for whatever reason they wanted... This happens to work really well with the next approach.)
Chizkuni says that he was bringing these Korbanos to thank Hashem for all of the good he had done to Benei Yisrael (see 18:10, where Yisro thanks Hashem openly).
Edit:
Note that a non-Jew could only bring olos (burnt offerings). Any sacrifice which was eaten, could only be brought by a Jew.
A gentile, even an idol-worshipper, could volunteer a sacrifice to be offered at the Temple (Menachot 73b). The only sacrifice accepted from him was a burnt-offering (Olah); Jews, on the other hand, whether they were men or women or converts to Judaism could volunteer any kind of sacrifice (Hilchot Maaseh Hakorbanot 3,2).
Rambam Maaseh Hakorbanot - Chapter 3
Men, women, and, servants may bring all of these types of sacrifices.4 From gentiles, by contrast, we accept only burnt offerings, as [derived from Leviticus 22:28]: "From the hand of an alien, you shall not offer the food of your God [from all of these]." Even a burnt offering of fowl may be accepted from a gentile, even if he worships false deities.
We do not, however, accept peace-offerings, meal-offerings, sin-offerings, or guilt-offerings9 from a gentile. Similarly, burnt-offerings that do not come as vows or pledges are not accepted from gentiles, e.g., a burnt-offering from a women who gave birth or the like or other burnt-offerings that do not come as vows or pledges.
