BMW have experimented with turboalternators and thermoelectric devices as exhaust waste heat recovery. They worked in the lab, produced modest MPG improvements (I want to say 5-10%), and proved far too expensive to implement in a BMW.
The other sector where WHR has had some success is heavy duty engines. Some of these engines see ten times as many hours in a year as a passenger car, so really expensive WHR schemes can still pay off.
The DoE are putting some money into thermoelectrics. Efficiency is low right now, but if they come up with cheaper or more efficient thermoelectrics, I expect it to become standard equipment on Class 8 trucks.
Vehicle Technologies Program: Annual Progress Reports contains some information on what your tax dollars are up to in the exhaust waste heat recovery field. There's also discussion of rankine cycle heat recovery, using R245fa as a working fluid, as well as a turbogenerator.
I think the best use of waste heat in a small car is to heat and cool the cabin.