There is no quick, easy answer to this question. The variables involved include system operating time, cost per Kw of electricity, cost per therm of the gas, the furnace efficiency, and the HSPF (heating seasonal performance factor) of the heat pump involved in the comparison. 

Check with a local contractor for their opinion and don't be afraid to ask questions. Sometimes contractors will have a bias one way or the other for reasons that have nothing to do with operating costs and comfort. 

The only way to really answer this question is to be sure that these factors are used correctly based on your local conditions. 

As a broad generalization, in most areas of the country an 80% furnace will consume about the same amount of energy as a heat pump assuming that the operating time and climates are comparable. 

If you are a colder climate, natural gas is normally the best choice, if available.