I've worked for a natural gas and electric utility for 39 years and you are correct that for the masses, natural gas is a very good option for heating, especially since fracking has taken off unlocking the worlds largest gas reserves right here in USA and driving prices down (imagine what it could be if we got this terrible administration out of the way). The most efficient heating source right now is Geothermal at approximately 500% efficient. The down side is that it is very costly to install and for most installs needs space for the loop field. The pay back depends on the fluctuating cost of the fuel it replaces but it will pay for itself in fuel savings.
Heating with wood or corn, even owning your own wood or corn, is not free heat. You have the cost of your heating unit, installation, maintenance, chainsaws, wood splitter, gas, oil, electricity, vehicles, trailer, tools, safety gear, tax on land, other things I've forgotten not to mention your own labor (your time always has worth even if you like doing it).
Bottom line, nothing is free except for the obama welfare class and us working people pay for that. Hopefully that is coming to an end.