Where the winters are mild....
Down in the southern United States, forced-air central heating is often accomplished by means of a heat pump. Put simply, a heat pump is an air conditioner in reverse: a compressor moves refrigerant in a loop, through a
condenser on the inside and an
evaporator on the outside. (See the link.) Since houses down here need central air conditioning anyway, the heat pump is a natural way to use the existing compressor and refrigerant coils. To the user, it looks like an ordinary central air conditioner with a compressor and coils on the outside of the building, and a blower and second set of coils on the inside attached to the ductwork.
So long as the outside air temperature is not too low, a heat pump can effectively heat the house by bringing in heat energy from the "cold" outside air. This process yields more heat energy inside than is used to run the compressor, so it
appears to violate basic laws of physics: More energy comes out than goes in!
Below a certain temperature, however, a heat pump becomes less effective--there just isn't enough heat in the outside air for it to work. At this point, most heat pumps switch on resistance heaters and become glorified toasters. When this happens, all efficiency is lost, and they can become expensive to run. (In the south, this is pretty rare: in a normal year, it may happen only a few days or not at all. In southern Florida, it may never get that cold.) Depending on the climate, natural gas prices, and electric rates, a heat pump may or may not be cheaper than a gas furnace; they're pretty competitive for a large swath of the US.
For even greater efficiency, or to operate in even more frigid climates, there are "geothermal" or ground-source heat pumps with the outside coils buried or immersed in groundwater. Since the Earth's temperature is much more stable than the atmosphere, these are even more efficient. However, the cost of burying the coils when the unit is first installed is pretty high.
en.wikipedia.org