Real-world efficiencies–but compare like with like
There are both practical and theoretical limits to efficiency. Both were of concern to the engineers, physicists and artisans who developed the idea of the conservation of energy and the science of thermodynamics. They were concerned about how much work could be extracted from burning coal, and how many horses this would replace. (This is the historical origin of the horsepower as a unit of power.)
Efficiencies are likely to be of more and more interest as energy resources are depleted. That all domestic appliances are rated (A++ to G) is a start, but it seems likely that only changing our habits will make a real difference. These are rated by the energy (KWh) dissipated to perform a particular standard task, so they aren't strictly efficiencies.
Here are some efficiencies–for the mechanical parts of bicycles:chain and derailleur 92.1–98.5 % ; three-speed hub gear 87.3–97.9 % ; single speed 96–99 % . A human can only manage a continuous power output of about 75 watt, so this needs not to be squandered. (Interestingly, you can feel these differences.)
Here are some for motor vehicles, starting with the fuel, so they're not directly comparable. The best practical results are 18–20 %. The theoretical limit for metal engine blocks is 37 %. Rocket motors run hotter and can run at up to 70 % (but you might not want to tailgate in dense traffic).
But take care in drawing conclusions: these are not intended as direct comparisons.
Here are some interesting domestic values, for heat pumps: Ground–air heat exchanger, 400 % ; Air–air heat exchanger, 300 %.
One of the most significant things you can do to reduce your domestic heating bills is to fit a device that shifts energy from one thermal store (air or ground) to the thermal store that is your home. For each kilojoule of energy that is dissipated, several kilojoules of energy are shifted to the thermal store. That's why the efficiencies quoted above exceed 100 %.
Here's another view of efficiencies: