When I bought my house, I put in central air. It first came with oil hot water heat. The difference between AC and a heat pump compressor is literally less than $200. So I put in the heat pump. Works fantastic, and will keep the house at 74 until 30* outdoor. The heat pump IMO is more efficient above 40* outdoor, and it requires no user intervention, and is not anything near what oil costs to run. So until it's constantly below 40 during the day, that's what heats, even now that I have my coal boiler setup.
To change an A/C type system to a heat pump type should only require a new outdoor unit, a thermostatic expansion valve (TEV), a little pipe soldering, thermostat wiring, and a system charge.
This is all assuming you can get one with the same refrigerant as what you have currently. If you have to get the newer r410a, you typically need to change out line sets, and the A coil in the air handler as well.
McGeiver is right, the most efficient ones are the ductless, but any modern heat pump compressor is pretty good. Mine has a 13 seer rating and a marginal HSPF rating, which is the number you want for heating performance. (Heating Season Performance Factor). The seer rating is for cooling.