Thermoelectric materials are of interest for applications as heat pumps and power generators. The performance of thermoelectric devices is quantified by a figure of merit, ZT, where Z is a measure of a material's thermoelectric properties and T is the absolute temperature. A material with a figure of merit of around unity was first reported over four decades ago, but since then-despite investigation of various approaches-there has been only modest progress in finding materials with enhanced ZT values at room temperature. Here we report thin-film thermoelectric materials that demonstrate a significant enhancement in ZT at 300 K, compared to state-of-the-art bulk Bi2Te3 alloys. This amounts to a maximum observed factor of approximately 2.4 for our p-type Bi2Te3/Sb2Te3 superlattice devices. The enhancement is achieved by controlling the transport of phonons and electrons in the superlattices. Preliminary devices exhibit significant cooling (32 K at around room temperature) and the potential to pump a heat flux of up to 700 W cm-2; the localized cooling and heating occurs some 23,000 times faster than in bulk devices. We anticipate that the combination of performance, power density and speed achieved in these materials will lead to diverse technological applications: for example, in thermochemistry-on-a-chip, DNA microarrays, fibre-optic switches and microelectrothermal systems.