The development of high–figure-of-merit (zT) thermoelectric materials has become a need to fight environmental problems such as global warming, climate change and to save scarce non-renewable energy, such as oil. In the XXI century, the improvement in the knowledge of how nanostructuration alters and improves the properties, improvements in the band structure calculations, etc. are helping to obtain materials with much higher zTs. This review tries to give a short overview of the state of the art of metal chalcogenides, oxides, Heusler compounds and Zintl phases.