Generally, the setup people think of is heating by the sun on one side and not heating the other. Typical efficiencies are very poor. Around 5%. You need to maintain a very cool second side to do much better than that. $/watt come out to about the same as solar, but you would need to get the surface very hot to generate some real power. So parabolic mirrors or lenses, etc.
You will also find the voltage is very low, as compared to solar. Look at the Seebeck coefficient. It is typically uV/K. So you need a very large temperature difference to get any usable voltage. Although I'm not sure what the current levels are.