You may have noticed those big cooling towers on power stations . That is wasted energy my friend. All just disappearing into the atmosphere.
And of course we won't talk about the energy expended mining the coal, mining the oil, refining the oil, transporting the oil etc making them even more inefficient overall.
Yes, pumped hydro is around the 75%-80% . But, when it is using clean, non polluting green energy, that's fine. I'd say that's a much better option in certain circumstances.