I cut off my Natural Gas three years ago and switched to Electric. I don't regret it, the home is cleaner (no forced air) and the quality of heat is fine. It's probably worth noting that I live in a climate with probably the second-highest usage of winter heat in North America (Arctic would be higher; while -40F/C nights are not the norm the possibility exists, and I can expect perhaps 30 days worth of -30 and lower in the winter heating season).
Electric heaters are very efficient (95% typical); the reason Electric costs more overall for the same BTU's is not the heater itself, it's the efficiency of the Power Plant which uses the same fuel (basically) as your Natural Gas in-home heater to generate electricity at roughly 65% efficiency. Which means you pay more per BTU when it's all said and done.
However, take a careful and close look at your Natural Gas bill. Look for how much gas you use (seems obvious, but ... ) versus all the other charges that piggyback on top of it.
My demand charge (everything except the actual gas consumption) was about 55% of my total bill. In other words, I can afford to eat the less efficient per BTU cost of electric and save about 15% when it comes to adding up the dollar cost of my heating season.
No regrets; my electric bill went up by roughly 100% but after taking away the full Natural Gas bill, it's not costing me anything extra in winter and it saves me considerable money when the heating season ends and my effective heat bill goes to zero (remember, I'd be paying demand charges for the summer months); now I pay nothing extra ... my electric demand charge existed before.
Look at the whole picture, you may be surprised.
Really, if you have a Natural Gas use but don't go "all-in" (stove, water heater, clothes dryer, home heating, barbecue, etc) you probably aren't taking advantage of the lower cost vs electricity.