In this Letter we study thermoelectric effects in ultra small quantum dots. We study the behaviour of the thermopower, Peltier coefficient and thermal conductance both in the sequencial tunneling regime and in the regime where Kondo correlations develope. Both cases of linear response and non-equilibrium induced by strong temperature gradients are considered. The thermopower is a very sensitive tool to detect Kondo correlations. It changes sign both as a function of temperature and temperature gradient. We also discuss violations of the Wiedemann-Franz law.