Thermoelectric (TE) materials facilitate direct heat-to-electricity conversion. The performance of a TE material is characterised by its figure of merit zT (=S-2 sigma T/kappa)that depends on both electronic transport properties, i.e. the Seebeck coefficient S and the electrical conductivity sigma, and on thermal transport properties, i.e. the thermal conductivity kappa of a material. The intrinsically counter-correlated behaviour between electronic and thermal transport properties makes the enhancement of zT a very challenging task. In the past 10 years, the zTs in bulk TE materials have been significantly enhanced due to intensive exploratory efforts, the discovery of new physical phenomena and effects, and applications of advanced synthesis methods. In this review, we summarise the recent progress in bulk TE materials. After the introduction of fundamental principles of thermoelectricity, the recently achieved enhancements in the TE performance encompassing the use of electronic band structure engineering, lattice phonon engineering and nanostructure tailoring will be emphasised. Next, the highlights of typical TE materials will be presented, focusing especially on the great progress achieved during the past decade. Finally, new techniques and approaches developed to fabricate TE materials will be outlined and their impact on the performance and economic viability of large-scale TE applications will be considered. The progress made during the past dozen or so years provides great opportunities for the use of bulk TE materials in a much broader range of applications and bodes well for a more efficient utilisation of energy.