the thermoelectric efficiency is a function of the figure of merit Z. The figure of merit is proportional to the ratio of electric and thermal conductivity and proportional to the square of the Seebeck coefficient S. So higher S, so higher Z.
Therefore, if you want to reach a high conversion of thermal into electrical energy, a high Seebeck coefficient is important.
In addition to what Dr. Mitdank commented above, the power factor of a thermoelectric material is usually defined as the numerator of the figure of merit Z and is equal to the Seebeck coefficient squared multiplying the electrical conductivity. Therefore, increasing the power factor (usually by optimizing carrier concentration) is one of the main ways of increasing Z.
Note that if one accepts the widely used circuit model of a voltage source and resistor in series for a thermoelectric material, the power factor is directly related to the maximum power output (thus its name).
The seebeck coefficient is the relationship between the thermal diffusivity carried by electrons, due to a Thermal gradient (Grad T) to (or in relation to) the electric charges diffusivity due to an electric field (aka. electrical conductivity).