Thermoelectric materials can be used to generate electricity directly from waste heat, but the efficiency of thermoelectric devices is small and only niche applications are developed today. The search for thermoelectric materials with improved properties is thus very active. To combine the three following antagonistic properties : (i) small electrical resistivity, (ii) large Seebeck coefficient and (iii) small thermal conductivity, different approaches are followed, such as nanostructuration to reduce thermal conductivity and/or enhance the Seebeck, or the use of strong electronic correlations to generate large Seebeck. I will first briefly present these approaches, and will then focus on the work we have been doing on oxides. The importance of spin and orbital degeneracies, and the importance of electronic correlations will be evidenced. The different classes of new materials that are investigated as potential thermoelectric materials will be discussed.