Converting electrical energy into heat is trivial. The cooling towers associated with nuclear power plants exist for the purpose of dissipating waste heat by evaporating water and/or heating air. (But in the case of nuclear reactors, they're dissipating heat energy that was never converted into electrical energy.) Pumping in cold water from a lake or reservoir, heating it, and pumping it back out can also be used for the same purpose.

Water can absorb relatively large amounts of energy without much change in temperature. If you're thinking specifically of a hydroelectric dam, consider that simply letting the water flow through without turning turbines would cause most of the potential energy in that water to be converted into heat by default. Water at the bottom of a waterfall is warmer (by only about a tenth of a degree for Niagara falls) than water at the top.