Yeah I don't think bonds are correlated to your electric bill :)
A lot of the 'alternatives' that institutional folks have talked about the past decade (forestry, commodities, oil rigs, private equity) are not sold to individuals in a good form. The fees can be crazy and you probably can't buy in sufficient quantity to be diversified. For commodities, yes there are ETFs but buying and holding commodities suck for long-term returns.
What you ultimately are after is uncorrelated returns to stocks/bonds/REITs. There really isn't anything out there that provides the same returns as those asset classes, to individuals at least, and are uncorrelated. OK, so if you knew what you were doing you could set up your own diversified trend following strategy using ETFs (or futures if you had enough money), but aside from that not much comes to mind. It remains to be seen how well implemented GMOM is, and how correlated it will be to stocks and bonds.