A Sterling engine allows heat to move from a source to a sink (where of course, the source temperature exceeds the sink temperature). Mechanical energy can be extracted from the movement of heat. Sterling's engine is a demonstration of one way to do it without burning fuel.

There's tons of documentation on the web about these. And while you could easily build one without a kit, you can buy kits to even more easily assemble one of these things. You can get one that will sit in the palm of your hand, cranking a little wheel around with your body heat.