The figure of merit ZT = sS2T/k (S the Seebeck coefficient, s and k the electrical and thermal conductivity respectively) is an essential element of the efficiency of a thermoelectric material for applications which convert heat to electricity or, conversely, electric current to cooling. From the expression of the power factor sS2 it was deduced that a highly degenerated semiconductor is necessary. In order to reduce the lattice part of the thermal conductivity, various mechanisms were tested in new thermoelectric materials and those had been the topics of several reviews. These include cage-like materials, effects of vacancies, solid solutions, complex structures (cluster, tunnel, …,), micro- and nano-structured systems, and more recently semiconducting glasses. We plan to review such aspects in the modern thermoelectric materials and include results of the very last years. Moreover, as micro- and nano-composites seem to be promising to increase ZT in large size samples, we will also briefly discuss the interest of spark plasma sintering technique to preserve the micro- or nano- structure in highly densified samples.