Perhaps the first thing that most people say is "heat rises". Whilst not wrong, what you should say is "hot air rises" or "hot water rises".
Anything fluid - that is gases or liquids - will tend to change density with changes in temperature.
For example, if heated, air decreases in density. The surrounding air is cooler and denser. This makes it heavier, so it falls beneath the hot air, forcing it upwards. This is convection.