Here in South Cackalacke air exchange (as opposed to geothermal) heat pumps are the norm. My house was built in 2002 and is a 2100 SF 1 1/2 story with a 'zoned' system. The power bill is generally around $200 a month in what we call the dead of winter or, more importantly down here in full summer. I also have an electric water heater, etc.
It has electric heat strips as backup, they will come on once a year which is when I flip from A/C to heat. The weird part (even though I know how they work): on cold days the air coming out of the top of the outside unit is colder than the ambient temperature.
As noted, heat pumps do not feel 'warm' for the reasons foxtrapper gave. That doesn't mean the house is cold, though. If the system is set at, say, 72 degrees and it feels 'cool' in the house when it's 25 degrees outside, if I go outside and come back in it feels like a sauna for a few minutes.
I wouldn't want to depend on them in very cold areas, though. When it gets down below zero I'm not seeing a strong possibility of good heat exchange happening.
I am planning to build a new house sometime soon and I am looking very hard at geothermal. Sure it's more expensive at the outset, but the thought of $75 power bills is intriguing. If my average electric bill is, say, $175.00, I spend $10k on a geothermal system (about the norm in this area) and now my power bill is $75, well $10,000.00 / $100.00 =100 months payback time, or 8.3 years till I break even and then start making money. If I can cut that initial cost down, the payback time gets even shorter. Even better, the 'ground loop' is expected to last at least 75 years, where the average outside heat exchanger unit is considered ready for replacement at between 10 and 13 years.
EDIT: For those wondering where I came up with my $10k price figure, check this site out: http://www.geothermalheaters.com/ The DIY kit price of course does not include the ground work, duct work etc but it gives you an idea of how these are priced. They have been highly rated, also.
An actual DIY geo installation: http://ricksgeo.com/ He did his sort of piecemeal, didn't buy a kit.