1) Heat pump - you use electricity to move heat from the outside in. It has efficiency over 100%, because you get all of the electricity's energy, plus some of the outside heat.
2) But generating electricity at the power plant uses heat in the first place, and wastes a lot of it. Let's bring the fuel to the house and make a heat-driven heat pump. This way you get 100% of the fuel's heat, plus heat from outside.
3) But this is still wasteful, because fuel burns hotter than the temperature you want in your house. So you could generate some electricity along the way, and use it to power domestic appliances. This way it will do useful work, and then 100% of it will also end up heating the house, because there's nowhere else for the energy to go.
4) And even that is still wasteful. The house is too hot in summer, and during the day, and too cold in winter, and during the night. A large enough heat reservoir, like thick walls, can smooth out this variation and give you average temperature all the time.
5) And believe it or not, even that is still wasteful. The human body produces enough heat to be warm in most temperatures, given good insulation. So we go from needing thick walls to needing thick clothes, which are much cheaper.
6) And even that is still wasteful! Because you don't need thick clothes either. So we arrive at the perfect solution for staying warm: a pill that makes your body heat up without fuss when it's cold, and lose weight along the way. Combine with clothes to taste.