The first law of thermodynamics, an expression of the principle of conservation of energy, states that energy can be transformed (changed from one form to another), but cannot be created or destroyed. 
No. Energy cannot be created or destroyed, it can only change form. Energy may be transformed into heat energy. The laws of thermodynamics also state that two bodies who remain in contact transfer heat energy until they reach an equilibrium. Due to this heat energy may be absorbed within air particles. Good luck attempting to get this energy back once permeated through the air :D 

An example is how chemical energy in petrol is converted into kinetic (movement) energy to drive a car, and how slowing down the car (by braking, crashing or just letting friction slow it down) converts the kinetic energy into heat. 

Although energy is never destroyed, it tends towards 'lower quality' and less useful energy every step on the way. As an example, there is no easy way to collect the low grade heat energy from slowing down a car to put it back on the tank. The energy is still there, but in tiny pieces spread all over the place in a form we cannot use. 

This is the second law of thermodynamics, saying that in any closed system (where the system does not get new energy from the outside) the entropy tends to increase. (Entropy is a mathematical definition of disorder - higher entropy means many small pieces instead of a few large ones) 
One scenario for how the Universe will eventually end is that the stars burn out and leave just a cold and dark empty space. In this scenario all the energy from the Big Bang, which today forms our Sun, the planets and the stars, will still be there. It will just be spread very, very thinly across the whole of the Universe instead of being concentrated in relatively few big lumps (the Sun and the stars) the way it is today. :)

Read more: http://wiki.answers.com/Q/Energy_is_never_created_or_destroyed#ixzz22eo4IvvT