Why go with a heat pump rather than natural gas? Here are some reasons:
Natural gas is getting much more expensive.  The operating cost of a heat pump now rivals that of a gas furnace.
Heat pumps are way more energy efficient than gas furnaces.
Keep natural gas in the ground. Methane is a potent green house gas.
With a heat pump, you get cooling as well as heating.
There is no need to run/alter a gas line.
No gas leaks in you home.
No combustion vents to install.

Google ‘ductless split’ for lots of info on ductless split heat pumps. ‘Split’ systems have an outdoor component that is connected to one or more indoor units via refrigerant lines.

Here are a couple of self contained heat pumps (no outdoor unit) for single rooms or small dewellings:
Maestro-pro-inverter-12-hp
Innova-HPAC 2.0