The traditional method of getting energy has been, since the 19th century or so, to burn it. Every energy generation method developed during the Industrial Revolution has relied on burning something to get power, and then moving that power where it was needed. In the very early days of the Industrial Revolution, the goal of all the fire was to boil water. Steam, produced by burning wood, coal or oil, was then used to drive turbines which would do work. Steam power drove everything from factories to trains. However, steam isn’t particularly effective, so it gave way to electricity, which was far easier to transmit over long distances.
Burning your energy supply isn’t a good idea for a number of reasons. When you’re dealing with a limited amount of fuel, that you can’t recreate, and you’re literally burning through it, you have to consider what’ll happen when it runs out. Purely from an economic standpoint you’re asking for a world of trouble. And that’s ignoring the quite serious environmental consequences.
Thanks to the laws of physics, burning something doesn’t get rid of it, just changes its form. Chemically speaking, burning coal, natural gas or oil is fundamentally the same process. It’s inefficient, with only a fraction of the total energy of the fuel being converted into a useful form. It’s dirty, releasing a whole host of chemicals during the combustion process, most of which are harmful to the environment. The biggest problem for emissions is most likely carbon dioxide.