We opted for a geothermal heat pump system when we built this house in 2009. At the time, it looked like the price of natural gas was going to skyrocket. As it turns out, it hasn't been until the past year or so that gas bills really went up significantly (we use it only for the water heater and gas range).
It's great in summer for air conditioning. In winter, it heats well for the first few months, but when the weather becomes very cold, the pump can't draw heat from the ground as effectively. If we were a bit farther south, it probably would be fine. Thankfully, we do have a wood-burning stove for when it's really cold.