The best choice is to choose a furnace with an AFUE rating of over 90 percent. These “condensing furnaces” recover extra heat by extracting water from the combustion gases within a special corrosion-resistant heat exchanger.
The Energy star site has information on more efficient gas and oil furnaces.
Here is a pdf list of efficient gas furnaces. Many are in the 95-96.7% efficiency range.
The first step is a home energy audit.
Getting a more efficient furnace should be done in combination with improving the sealing of ducts (20% of heat can be lost) and improved home insulation.
An assessment of home energy efficiency should be performed.