We present theoretical models which can account for the thermoelectric power (TEP) of metallic Kondo systems and in particular compounds with Cerium or Ytterbium. At high temperatures much above the Kondo temperature T_k, which is very small typically of order some K, Kondo Ce or Yb compounds are well described by the Coqblin-Schrieffer model (CSM) including crystal field (CF) effects and using a renormalization of the exchange integrals, while, below T_k, they have an "heavy fermion" character which is well accounted by the Anderson model. We obtain, above T_k, a large positive (negative) peak for Ce (Yb) compounds, a TEP tending to zero for a temperature approaching T_k and, below T_k, another positive (negative) peak for the TEP of Ce (Yb) compounds. We can present an explanation of many TEP curves for Ce compounds, like CeAl₃, which have two positive peaks at very small and large temperatures with eventually negative values in between. A special emphasis is given on the TEP of Yb compounds, such as YbCu₂Si₂, which presents a broad negative peak or eventually two negative peaks corresponding to CF and T_k. A brief review of the TEP curves in Ce, Yb and other anomalous rare-earth systems and the possibility of getting very large values of the TEP in strongly correlated electron systems are finally discussed here.