Heat pumps have become more efficient. It used to be that they would only work down to 32F. Now, they can do their job below 32F to around 25F before you need an auxiliary heat source. They do become less efficient the lower the temperature goes. As is true with many things, you have to spend more money on a better unit in order to achieve better efficiency below the 32F.
The heated air coming out of a heat pump will not feel as warm to the skin as the air coming out of a gas furnace. It's because the air temperature is not as high. The heat pump will run more often in order to maintain a constant temperature, thus the lower temperature output. The gas furnace will blast hotter air less often.
You really notice the temperature difference if you stand over the vent and feel the airflow up your dress or nightgown. Gas furnace wins that competition every time.
The general rule of thumb is not to change the types of units that are already installed. Expense drives that part of the decision.
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