Filled skutterudite antimonides [1,2] are cubic compounds with the formula RM4 Sb12, where R is a rare-earth element (such as La or Ce), and M is a transition metal (for example, Fe or Co). The rare-earth ion is weakly bound in an oversized atomic cage formed by the other atoms. Its presence has been shown to cause a dramatic reduction in the lattice component of the thermal conductivity, while having little effect on the electronic properties [3-5] of the compound. This combination of properties makes filled skutterudites of interest as thermoelectric materials. It has been suggested  that localized, incoherent vibrations of the rare-earth ion are responsible for the reduction in thermal conductivity, but no direct evidence for these local vibrational modes exists. Here we report the observation of local modes in La-filled skutterudites, using heat capacity, elastic constant and inelastic neutron scattering measurements. The La atoms show unusual thermodynamic behaviour, characterized by the presence of two low-energy localized modes. Our results suggest that consideration of local modes will play an important role in the design of the next generation of thermoelectric materials.