Electric heat is the most inefficient by far. Natural Gas is the best in my opinion.
I just finished reading the winter 2013 edition of Fine Homebuilding - Energy Smart Homes. There is a article that covers the latest in heating. In super energy efficient homes, electric heat is the most temperature adjustable. Gas forced air runs hot and cold as opposed to providing a constant temperature. Radiant heat is efficient and exceptionally clean. It is a good choice for folks prone to allergies. The addition of an air to air heat exchanger keeps the air in you place fresh.
Our house has gas forced air. Having been built in the late 70's with lots of vaulted ceilings and a fair amount of glass, it is not the most energy efficient house. I installed a 98% efficient furnace that cycles both the fan and the flame according to how much heat is needed about 5 years ago. Never-the-less, our gas bill averages about $150 a month in the winter and our electric bill almost doubles because the fan is running a lot of the time. We also have gas hot water, but we cook with electric.
In an effort to conserve energy, I am gradually switching over to LED lighting wherever possible. We replaced all the windows in the house several years back with energy efficient ones. That was a killer expense since we have 30 windows in our house.