The final way that heat is transferred from one place to another is convection. Convection takes place when heated molecules move from one place to another, taking the heat with them. Convection is common in both the atmosphere as well as in the oceans.
Heated air in our atmosphere expands, becoming less dense. Because it is less dense, it rises upward. Cooler air rushes in to replace the air that lifted up. As warm air rises and cool air falls, a giant circular pattern is created. Eventually the warmer air cools and begins to fall again.
Convection also takes place within the Sun. Vast amounts of hot gas rise up towards the surface of the Sun. As they do so, they become cooler and begin to fall back down towards the center of the Sun. As they do so, they again heat up and begin rising again, over and over, rising and falling in a seemingly eternal circular pattern.