The Work of Sunlight. Why intermediaries? Electromagnetic radiation from the Sun heats the air –manifested in air currents- which eventually powers, for example, windmills. Schematically, Sun->Air->Windmills.
Question: Why isn't Sun->Windmills? What´s the need of intermediary like a air/gas to perform work?
 A: There is no need for an intermediate medium to do the work. Solar cells and photosynthesizing plants convert solar light energy directly into electrical work. However, windmills happen to use heated air as an intermediate.
A: Windmills rely on mechanical energy to power them.
The mechanical energy directly from the sun's radiation is very limited  (I think radiation pressure is essentially negligible in terms of windmill forces).
Instead, the sun's heat creates a heat engine, with the air and water as working fluids.  The radiation heat causes the ground air and water to heat up in non-uniform ways, generating fluid flows which can be harnessed for mechanical energy.  The most common examples are windmills for air, and turbines for water.
As mentioned in another answer, heat can do work in other ways; it's just not very good at doing mechanical work unless it has some sort of process to extract that work from the heat.
A: This is perhaps more a question of economics than physics.
The energy in wind or wave power, hydroelectric power and fossil fuels is enormously concentrated, both in terms of land area, and also in terms of time. Capturing the same amount of sunlight using photo-voltaic cells would be significantly more efficient, but it would require vast areas of solar panels, or thousands of years, to accumulate the same amount of energy. 
The sunlight which powers the winds, or lifts water from the sea up into the mountains, has been collected over an enormously bigger proportion of the Earth's surface than the total area of all of our wind farms and hydro-electric power stations. The chemical energy in coal or oil has been extracted from sunlight over the lifetime of a tree or marine creature, then compressed over millions of years. 
If we devoted enough resources to it we could reach the same goal far more efficiently without any intermediaries. Why don't we? 1. Convenience : It would be a project of global proportions. 2. Consequences : Because of its size it would have bigger disruptive effect on the climate and environment than our use of fossil fuels has had. 
The same dilemma applies to food production. We could synthesize the nutrients we need directly from chemical elements far more efficiently, but it is very much more convenient to be at the top of a global food chain which has taken millions of years to become established and extends over a vastly bigger area than all of our factories. The nutritional value we get out of hunting and fishing, and even farming, vastly outweighs the effort which we put in.
