There are second order effects from natural gas use in an actual furnace that aren't taken into account in price of energy comparisons. A furnace has to either
1) exhaust out air initially drawn from the house which must be replaced by cold outdoor air coming into the house (this requires more heating of the house)
2) take in fresh cold air for combustion and exhaust that (which requires extra energy to heat up the cold air)
All modern furnaces I've seen take #2 - use air from outside. Despite that they can get to 99% efficient. It doesn't take much energy to heat up that cold air.
How could it not take much energy to heat up cold air? That plus blowing air is the entirety of what goes on in a forced air ventilation system.
The efficiency rating of a gas furnace assumes the incoming air temperature is close to the desired temperature of the house- that's why it is negligible in the artificial efficiency ratings. If the incoming air is below freezing the efficiency must be different. I wish I could find a study that properly quantified this.
My experience in the US at least is that its not uncommon for the furnace air intake to draw air from inside the house (my last two homes in PNW as one example).
That used to be very common in the US, and there are a lot of old systems still working. However every new furnace I've seen is installed to use outside air. Using outside air needs $100 more in parts and labor and it prevents air balance issues in modern well sealed houses.
The furnace my parents (who live in Ohio) installed 10+ years ago uses outside air for combustion, not conditioned inside air. As it's older, it's not got a 99 AFUE, but it's high (I think in the low 90s).
That is a good point. City permits required us to add vents to our furnace enclosure, which would draw combustion air from the conditioned space, even though it was previously drawing from the attic. I just blocked the vents.
1) exhaust out air initially drawn from the house which must be replaced by cold outdoor air coming into the house (this requires more heating of the house) 2) take in fresh cold air for combustion and exhaust that (which requires extra energy to heat up the cold air)