Even Nuclear power stations are only there to make water hot, make steam and move turbines, I was suprised when I learnt this (not in this programme) because I assumed some more complex and advanced thing was going on rather than just producing steam, in the 21st century we should have moved on, maybe the solar power they were talking about but no doubt that will be just used to heat water as well.
Wind and tidal power don't use steam. Solar comes in two forms - one of which generates electricity directly, and the other heats water. Hydro-electric doesn't use steam, but geothermal does.
Other than solar, the general rule would be that if you're tapping energy from something that is already moving, then you can generate electricity directly - otherwise you need an intermediate step, such as boiling water to convert the source energy into movement, and therefore electricity.
There are a few other non-motion-based ways of generating electricity, such as piezo- or thermo-electrics, but they're not currently any use for large-scale production.