To be really simplify, let's assume that you live in a climate where it is always cold enough you need to heat your house and you have exactly two options to generate that heat:
A) Buy natural gas from your local utility to burn for heat.
B) Buy electricity from your local utility (generated using a natural gas power plant, because those are some of the cheapest to build and operate at the moment) to run an electric appliance where all the energy consumption ultimately ends up as waste heat.
For option A, to provide yourself with 10,000 BTUs of heat you can use 11.7 cubic feet of natural gas. (One cubic foot of gas = ~ 1,000 BTUs, you've got a non-high efficiency furnace where 85% of fuel is converted to heat in your house and 15% is wasted, if you wanted you could buy a 95% efficient furnace and need even less natural gas to produce the same amount of heat inside your house it'd just cost a bit more).
For option B, we burn the same natural gas in a power plant to create heat which is then converted to electricity. Under ideal conditions in a conventional natural gas power plan 38% of the energy in the natural gas makes it to the form of electrical energy (the rest ends up as heat at the power plant). You lose another 4% off the top from transmission losses (heating up power lines) and distribution losses (heating up transformers), so .38 * .96 * . 96 = ~35% of the energy in the natural gas makes it into your house. Once it is in your house you use it to run toasters and refrigerators and incandescent light bulbs until you've generated 10,000 BTUs of heat energy. In order to provide enough electricity for you to do so, your utility has now burned 10/.38 = 26.3 cubic feet of natural gas.