You raise a good question. It is true that electrons flow from the hot terminal (which is at higher voltage) to the ground terminal (which is at "0" voltage). However, electricity is not the same thing as electrons.
You can think of electricity as the energy stored in the electrons. That is, the electrons are in a higher energy state at the hot terminal, and lose that energy (presumably in your devices, appliances, etc) when they move to the grounded terminal.
You can think of it like this: suppose you have a waterfall, and you use the pouring water to rotate a water wheel (like a mill). The water drives the wheel, providing you energy to grind stuff up (or whatever mills do). At the end of the process, you have water in a lake or something below where it started. While you have all the water you started with, you can't use it until it gets back up to the top of the waterfall (which is hard). The water stores the energy in the form of gravitational potential energy. That energy is released when the water flows.
The electrons store the energy in the from of electrical potential energy. The only way to "recycle" them is to provide them with energy again (just like you would lift the water to the top of the waterfall). This is what power plants do (with a turbine), whether from coal power, nuclear power, hydroelectric, and so on.
ANSWER TO TRANSFORMER QUESTION:
No. Transformers transfer energy; they conserve it. You can see this from the device law that Vs*Is = Vt*It (source and target) - power is conserved. For more, check out the wikipedia article on transformers.