It does depend on many factors, however a brand new, high efficiency electric heat pump system is competitive with a gas furnace in our region with has a lot of cool but not freezing weather.
I see people splitting the difference by having a hybrid system using electric AC/heat pump plus a gas furnace.
http://www.residential.carrier.com/knowledge/guides/hybridheat.shtml
If you're looking for lowest up front cost and operating costs, just go with a gas furnace.