Yes, we were -5 this morning too! The Stove was cranking last night. I think it ran full bore all night, I don't think the thermostat ever was statisfied, burnt up 30-40#'s+ easily!
Proabably natural gas furnances, they produce alot of moisture in the exhaust. Combustion always produces water vapor. Some may be natural draft and other may be a power vent type situation, therefore, differences in the exhaust out the chimney.
I have never seen smoke or moisture from my coal stove either.