First Law of Thermodynamics
The first law of thermodynamics is often called the Law of Conservation of Energy. This law suggests that energy can be transferred from one system to another in many forms. Also, it can not be created or destroyed. Thus, the total amount of energy available in the Universe is constant. Einstein's famous equation (written below) describes the relationship between energy and matter:
E = mc^2
In the equation above, energy (E) is equal to matter (m) times the square of a constant (c). Einstein suggested that energy and matter are interchangeable. His equation also suggests that the quantity of energy and matter in the Universe is fixed.
Now based on this, the bottom line is you can't get something out of nothing.
About the only way to get electricity out of thin air is to go out into a thunder storm with a metal pole.