I just replaced my furnace about 3 years ago. Went with a two-stage, 98% efficiency, natural gas, whole-house humidifier, electrostatic air cleaner, and UV air purifier, and the entire job was around $5k. That was for a furnace sized for a 4600 sq foot home, including a SEER 22 A/C compressor too.
I have a wood burning insert in my fireplace -- keeps the house at 74 degrees all winter and my natural gas bill winds up being about $35 a month, largely for the gas cooktop and the hot water heater.