My dad's got a geothermal heat pump. Cost about 12grand to put in (and that was about 15 years ago) but it's already paid for itself. Now he heats/cools a 2500sqft bungalow for a few hundred a year. Bonus side effect is free hot water! It's a really cool setup.

He's also got a wood stove that he used to heat the house with. Not bad but you need kids (read:me) to split, stack and lug the wood.