Burning coal / electricity / oil to explore, drill, transport, refine, and re-transport oil ... Then using that to fill your car, so you can blow it up inside an engine.

Sounds a little less efficient than the electricity thing when you look at the full sequence. And this is even in the case where electricity comes from dirty sources; some states, like California, have an energy mix where electricity comes mostly from renewables. (And this is something that can be improved as time goes on).