Functional materials are often exposed to high temperatures and inherent temperature gradients. These temperature gradients act as thermodynamic driving forces for the diffusion of mobile components. The detailed consequences of thermodiffusion depend on the boundary conditions of the non-isothermal sample: Once the boundaries of the sample are inert and closed for exchange of the mobile components, thermodiffusion leads to their pile-up in the stationary state (the so called Soret effect). Once the system is open for an exchange of the mobile component, chemical diffusion adds to the Soret effect, and stationary non-zero component fluxes are additionally observed in the stationary state. In this review, the essential aspects of thermodiffusion and Soret effect in inorganic functional materials are briefly summarized and our current practical knowledge is reviewed. Major examples include nonstoichiometric binary compounds (oxides and other chalcogenides) and ternary solid solutions. The potential influence of the Soret effect on the long term stability of high temperature thermoelectrics is briefly discussed. Typical Soret coefficients for nonstoichiometric compounds are found to be of the order of (d${delta}$/dT) ${approx}$ 1%/K.