People seem to be paying around 3.8 cents/kw-hr for gas heat, and maybe 15 for electricity. If a 10kW gas fired generator costs $3000 and lasts 10,000 hours, it should cost about 30 cents per hour to run, in machine cost. The gas cost will be about $1.52 per hour, for a total of $1.82/hour. The setup will put out 10 kW of electricity, worth $1.50 an hour, plus 30kW of heat, worth (30x3.8) $1.14 per hour. This setup will save 1.14+1.5-1.82 = 0.82 per hour, over a separate furnace and electric utility connection.
Instead of a generator, you can connect the gas fired engine to the shaft of a ground source heat pump, and get 1.6 units of heat energy out of the ground for every unit of natural gas energy. That would put out 64,000 watts of warm air, worth $2.43 per hour, at a cost of $1.82 per hour, saving you 61 cents per hour. But I forgot the machine cost of the heat pump.
Cogen is the way to go.