For those of you with cheap natural gas consider the small co-generation products now becoming available in the US. A natural gas powered Honda engine turns an alternator that produces electricity. Waste heat is captured and becomes the furnace that heats your home. I don't know the capital investment required but it might make sense, especially if you get some tax credits. See: http://www.climate-energy.com/products.asp
However, if your electric rates are also low because the utility uses the same cheap natural gas to make electricity it's unlikely to be cost effective.