But I could build up a lot of solar panels and use the electricity to heat up an oven more than the surface of the sun, right? Is that "cheating" in terms of thermo dynamics?
Yes, this would be like using a hydroelectric dam to power a fountain that sprays higher than the initial reservoir. Machines can convert a large amount of low-quality energy into a small amount of high-quality energy, even when passive components (e.g. mirrors or pipes) cannot.
What about a material that absorbs photons and emitts them at a higher energy level (emitting one after absorbing two)?
The most efficient possible way to convert sunlight to electricity is ~86% and is related to the second law of thermodynamics. So we use the heat flow from a hot reservoir (sun) to a cold reservoir (earth) and are able to convert some of that heat into work (electricity) which can then be used to heat something else to a higher temperature without breaking the second law.