I need to convert my gas furnace to a more economical way to heat my home. I heard a heat pump was economical.

Heat pump is more along the lines of green. I don't think they're really economical. A lot of it depends on where you live. For many of us oil based heating is rather expensive, but some places in the south swear by it. I've lived in places where the electricity is extremely cheap, and thus electric heat was the best option. Gas heating is good too if the prices aren't bad.

If you're looking for a long term investment, you can try heat cells on your roof, or ground water heating systems. They will save you quite a bit of money as they run near free after initial installation.

Heat pumps can be very economical in Canada from what I've heard. Hydro power is really cheap.

Dual fuel heat pumps can also be considered. They would use gas a back-up heat.

Have an energy analysis done or at least find the cost/therm of the various fuels in your area.