Modern power plants work hard at getting every last bit of that energy before it escapes. Current Combined Cycle plants, that generate steam from the exhaust of a gas turbine, are currently getting over 60% efficiency.
One must be a bit careful there. 60% efficiency based on the LOWER heating value of natural gas. That ignores the heat available from condensing the water of combustion. Coal plants typically use the higher heating value when computing efficiency, which does reflect the latent heat of vaporization of that water.
I know ICE engines use turbochargers to "recapture" the energy. Exhaust can be used to power the intake fan, which can increase air-pressure available to the engine's intake.
