The best natural gas power plants are 64% efficient. A modern furnace is around 95%. Sure electric restive heat is 100% efficient in your house, but the whole system us much worse.
Of course electric can come from many sources, if your is renewable at the time resistive is good. However you might also be using some old 1920s coal generator that is 10% efficient (these still exist, but are only used in the worst emergencies)
Natural gas (not sure about wood; in most areas it’s abundant) is about 1/3 of the cost of electricity in America, so it’s economically less efficient.