Windmills are the wrong analogy, and profplump did not break the laws of thermodynamics with his suggestion. Windmills operate at the temperature of the exhaust reservoir - the atmosphere. If the exhaust from a turbine is 1000 K, though, and the atmospheric temperature is 300 K, then additional turbines can be used to recover a maximum of 70% of the available thermal energy. There are many power plant and jet engine designs that have multiple turbines in a single flowpath. The number of turbines is limited by considerations relative to added profitability and performance for each additional turbine stage.
You are correct that thermal energy in its lowest state cannot be used to do work, but if it is already in that state, then it must be at the same temperature as the surroundings and would thus not contribute additional heat as pollution. The question is, is it worth it financially to convert "extra" radiated heat to electricity using sterling engines or other methods.