Market effects affect to the economic perspective, but considering the transformation of fuel to heat, gas is sure to be more efficient. Electricity used to run the heater is generated by burning something and running a turbine - a process that itself runs with around 30% efficiency. Add to that the power loss from electricity distribution. 300% efficiency on the heater isn't enough to break even so that you'd get as much heat from the same amount of gas burned locally versus in a power plant.