All the stages of phase transformations in materials, nucleation, growth, and coarsening, are subject to thermal effects that stem from the redistribution of energy in the system, like release of latent heat, and heat conduction. The thermal effects change the rate and outcome of the transformation and may result in the appearance of unusual states or phases, in particular in nanosystems. This review will cover the attempts of researchers to build a comprehensive theory of thermal effects in different phase transformations. Although the dynamical Ginzburg-Landau (continuum) approach will be used for the analysis of the effects, they are robust and conceivably independent of the theoretical method employed. On general physical grounds a possibility of an oscillatory regime in nucleation is considered and evolution equations for the interfacial motion are derived. The equations show that there are two distinctly different sets of thermal effects of interface motion: one set originates from the existence of the Gibbs-Duhem thermodynamic force on the interface, which has opposite directions compared to the velocity of the interface in the cases of continuous and discontinuous transitions, resulting in a heat trapping effect for the latter and a drag effect for the former. The other set of thermal effects stems from the existence of the surface internal energy and the necessity to carry it over together with the moving interface. As a result, temperature double layers accompany moving domain boundaries after a continuous transition or the surface creation and dissipation effect appear after a discontinuous one. An unusual, novel phase that may appear in isolated nanosystems (adiabatic nanophase) is described. Several experiments are suggested for the verification of the thermal effects in different material systems.