The most efficient heating system is going to be solar, because outside of the initial hardware costs, solar energy is free. Of course the downside is you might not live in an area with a lot of sunlight, which means you’ll need to compliment your solar power with other energy sources, like fuel or electricity, when solar power runs low. Wood stoves are the next most efficient, but you’ll need to buy wood and make a fire every day. Gas is the next most efficient, especially when gas prices are low, but they tend to fluctuate during peak usage times of the year. For pure efficiency, solar is the way to go. Regardless of what system you choose, make sure to have the proper insulation in your house to maximize heat (or cold) retention.