Hot water, as in very hot water, goes to steam with an enormous change in volume and pressure. This is capable of driving turbine blades, which in turn rotate enormous copper (eg) wired coils in enormous magnetic fields. This in turn produces electricity via electromagnetic induction and Fleming's right hand (I think it is) DYNAMO rule. That goes down miles and mile of v heavy conducting wire/cable as electricity.
Mercury is very harmful to the average human being. the mercury can easily be released from the lamp if the lamp is knocked over and broken. mercury is also harmful if inhaled. sodium on the other hand is not harmful in any way.