It sounds like air-to-water pumps may offer a new alternative, but it's still more expensive than gas in many scenarios.
However air to water heat pumps are also applicable in cold climates. If you're interested here is an example datasheet[1] of an air to water heat pump (2018) (using Celsius here):
Mitsubishi PUHZ-SHW112YAA Guaranteed operating range (outdoor): Heating: -28 to +21 Domestic hot water: -28 to +35
On page 108 you can find the actual co-efficient of performance (COP) for different outside temperatures and inside water heating temperatures. As an example: at -10 and an water temperature for heating at 25 you still get a COP of 3+. That means that 100% electricity moves 300% of heat into your house.
[1]: https://www.mitsubishi-les.info/database/servicemanual/files...
Effective? A watt is a watt. A heater putting out 2000 watts of heating intensity is exactly as effective whether it runs on electricity, nuclear fusion, or burning dried unicorn poop.
Some electric heaters (like baseboard units) don't circulate air very well. They sometimes get installed under windows and basically just move hot air toward a cold window. If we take that to represent all manner of electric space heating, that is a strawman.
As another poster mentioned, it’s different in a place with unlimited hydropower like Quebec. Places like Boston or NY are about 3x more expensive for electricity... so gas is a no brainer and will be for a long time.