I have 2 direct vent gas fireplaces at my home. I am so very disappointment with their performance. You have to sit like within 5 feet from them in order to feel any heat. They don't warm up the room either. Just waste of gas I guess. Traditional heating system work much better, be them water/steam radiators, forced air or baseboard heating system. The best heating system I have experienced is radiat floor heating system. They have electric as well as gas (hot water) systems. These work on per room basis so you don't need to run the system for the entire house.
i have never really looked at fireplaces from a utility perspective but more for aesthetics.
if u thought teh direct vent fireplaces are bad, u shoudl really try the wood burning ones, they need ventilation and not used properly they can actually suck more heat out than they provide :D
the radiant floor system is excellent, not too common and hard to install after wards, too much effort, otherwise I would have done those myself.
anyione doiung new construction or remodeling should lok into them, systems themselves are not expensive.