First of all, a turbocharger does this, to a limited extent. It reclaims a small portion of the exhaust's thermal expansion energy for conversion into mechanical work.
A few years ago I read an article in Car and Driver magazine stating that BMW was developing thermal energy reclamation systems as an alternative to the gas/electric hybrid. As I recall, waste heat from the cooling system and exhaust were to heat and expand a medium to provide mechanical work, a bit like a steam engine does.
I have not come across anything about this since then, though.