Well, there's heat energy that's wasted with eddy currents that form around the iron core because of electromagnetic induction. Because it's alternating current, you've got changing voltage and hence a changing magnetic field created in the primary coil. There is then an induced emf in the secondary coil, which gives rise to a current. Although the emf (voltage) is induced to oppose the original change in flux (if this didn't happen, current would be generated indefinitely and this violates LCE), so this creates another magnetic field. So electrical energy in the primary coil is converted into magnetic energy and then transformed into electrical energy in the secondary coil. Others can add to my explanation if they wish.
Hopefully that helps!