TLDR:
So from this, I'd say if you're in a very cold climate, and your NG is piped to your house, use an efficient condensing boiler and be done with it. If you are wavering on it, look at how cold it gets, and see if your heat pump would work during that temp with the right capacity necessary to keep you warm.--
I do a lot of "green" engineering, and heat pumps make sense at times, and don't others.
Natural gas is cheap right now. and likely will be for the life of a heat pump. If you have the option to go to NG it will be cheaper for heating than using a heat pump, but it may not win in first cost if you're also getting AC.
A great way to calculate is dollar per BTU (source).
Just looking up Colorado prices on EIA.Gov for an example calculation for anyone to perform.
Price for Natural Gas (residential) is 13.40/thousand cu ft. (also known as $1.340 per therm)
Price for Electricity (residential) is 12.72 cents/kwh.
1 therm = ~100,000 btu
btu and kwh are units of energy, with a conversation ration between the two being 1w = 3.412btu
$1.34 per therm = 74626 btu(source) per dollar.
0.1272 dollars per kwh = 26,823 btu(source) per dollar.
Now heat pumps have a curve of efficiency, colder it is, less efficient they are (never getting below 1.0) and also the capacity decreases. If you have a lot of cold days, you'll likely make out better with NG than the heat pump.
Now for mild winters, the idea is that you're running an average COP (coefficient of performance, a unitless conversion) of lets say around 3. (it can geat greater than this, but I like being conservative)
74626 btu (source) * NG boiler heater efficiency (95%) = 70,894 btu per dollar of heat for a boiler.
26,823 btu (source) * Average COP of the heat pump (3) = 80469 btu per dollar of heat for heat pump.
with that, you're getting around the same performance as a NG boiler in a heat delivered per dollar standpoint. When this isn't the case usually it is because the heat pump is not controlled appropriately; it uses the heat strips within the air handler way too often and not only during periods of extreme cold when the heat pump can't maintain temp. When it uses the heat strips, the best you have is the straight conversion of a resistance heater. (COP = 1) Oh, and before anyone gets a heat pump, get the curve for how cold it can operate and the capacities at each temp, so you know if you get below that you are using another heating source. (some only work down to 30, some work down to 10, some to 4, some to -30 or lower) Always a plus side is that it also cools, and is only one piece of equipment.
Objectively, you know your uses best, but on average I use a chart of locations within ASHRAE 90.1 to determine Heating Degree Days (HDD) of locations to determine what to suggest. Florida and anything south of Tennessee I tend to go heat pump 100%, with a thermostat that limits the emergency heat (Resistance Strips) to a button/switch. Rule of Thumb is ~3500 HDD I start at least evaluating, under that is Heat Pump. I do requests for researching HDD/CDD in your climate and let you know historically what the lowest temperature you will see 99% of the time, just ask