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Conservation of energy states energy can't be destroyed, but isn't energy used up when walking in a straight line? If your not walking up a slope, kinetic energy isn't converted to gravitational potential energy, so what is it converted to?

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The thing that is destroyed is lack of entropy, entropy is made, and this cannot be undone. This is what you mean when you say you use up energy. – Ron Maimon May 18 '12 at 0:17

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In case of walking on horizontal plane chemical energy is turned into heat. (Muscles are constantly contracting and expanding and in this way your body's temperature increases.)

Moving your limbs is not very efficient way of moving, this is why there is a room for improvement. E.g. if you are cycling (or skating...), you use the same quantity of chemical energy to make much larger distance.

If one could make a perfect bycicle (without any friction in the wheels and friction between the wheel and the ground), you could make miles of horizontal distance without any effort/energy at all!

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You need friction between the wheel and the ground to stop the wheel sliding out sideways from underneath the bicycle. What slows bikes down is rolling resistance and air resistance. – bdsl Nov 7 at 2:10
@bdsl As you correctly pointed out, I did not mention air resistance in my answer. But as far as rolling resistance is concerned, it is usually taken into account as rolling dynamic friction as it roughly proportional to normal force. Static friction on the other hand stops the wheel from sliding and the work of static friction is zero - no mechanical energy is lost regarding that. The answer could be improved, but it was intentionally simplified to keep focus on the answering the question. – Pygmalion Nov 9 at 8:55

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