Toggle: Yes, gas can be expensive in the South for some reason. Natural gas varies a whole lot depending on where the service comes from, though. Up until a few years ago, we lived in a suburb of Huntsville named Madison, an incorporated town which had its own gas board, and it is notorious for having some of the highest gas prices in the state. In Huntsville proper, natural gas is cheaper, but it's not available in our neighborhood. Propane is very expensive here -- it's actually cheaper to heat with electric resistance heat vs. propane. We do have a propane tank and gas fireplaces, but they are just for ambience; we don't rely on them for heat.
We have three heat pumps, one for each floor. They are all Frigidaire units (made by Heil, I think). There's a 2-1/2 ton unit for the main floor and 1-1/2 ton units for the upper floor and the basement. Right now I don't even have the basement one on; it probably won't be needed for a few more weeks. Our new house is over 2X as large as the old house was, but we heated it last winter for about the same cost as what we had to pay for gas heat in Madison.
Nearly all residential heating installations in this area are either forced air gas, or heat pump. Since you absolutely have to have central A/C here (for house resale value, even if you don't like A/C yourself), which means the ductwork has to be installed anyway, the incremental expense of installing forced air heat is minimal. If you go with hot water or steam heat, the incremental cost of installation is much higher.