My old Volksie used to use the heat from the exhaust pipe to heat the car (air was blown over the exhaust and back into the car). The problem being that any leaks in the exhaust pipe was potentially dangerous to the occupants (didnt stop millions of Volksie's being made like that nor do I know of anyone dying due to carbon monoxide poisoning from the heater).
On a related note a Turbo is probably the most famous method of extracting more "free" power from the exhaust. When the exhaust valve opens the pressure inside the combustion chamber is still much higher than ambient. In normally asperated engines that energy is lost as the gas rushes out the exhaust. By putting a turbine in the path of the gas, one improves the efficiency of the engine quite a lot (more use is made of the energy released during combustion).
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