After using a fireplace to heat for 20+ years my father finally switched over to gas heating in his new home. No more need to cut it, load it, unload it, haul it into the house, ect. You don't get the layer of soot all over your nice new homes that fireplaces put out. You don't have to worry about not having a warm fire on damp, windless days, ect.
He found that an efficient gas furnace wasn't really that bad of an expense compared to the work that it saved you.
My uncle has a pretty cool setup though - he uses geothermal heating/cooling. He's got a well a couple hundred feet down that holds water at a constant 54 degrees(I think it's that temp) all year round. In the summer he pulls it up and uses it to cool since it's cooler than the ambient temp. And in the winter he just has to increase it's temp up to a comfortable level above 54 and pump it through the house to warm. He said it was about a $15,000 system. He figured it would take about 10 years to pay off but after that all he pays in utilities for heating & cooling is the cost to run the pumps up from the well and the minimal amount it costs to raise the temp in the winter. I think he does that with a small wood stove in the basement. Very neat system.