Thermal energy
Thermal energy is unique because it cannot be converted to other forms of energy. Only a difference in the density of thermal/heat energy (temperature) can be used to perform work, and the efficiency of this conversion will be (much) less than 100%. This is because thermal energy represents a particularly disordered form of energy; it is spread out randomly among many available states of a collection of microscopic particles constituting the system (these combinations of position and momentum for each of the particles are said to form a phase space). The measure of this disorder or randomness is entropy, and its defining feature is that the entropy of an isolated system never decreases. One cannot take a high-entropy system (like a hot substance, with a certain amount of thermal energy) and convert it into a low entropy state (like a low-temperature substance, with correspondingly lower energy), without that entropy going somewhere else (like the surrounding air). In other words, there is no way to concentrate energy without spreading out energy somewhere else.