We have dual fuel, so we burn oil below 40F. Works great.
If you can afford it, putting in a heat pump that works off of ground will eventually pay for itself.
I'd say practical limits of current models are probably around -20C (-4F)
If you're interested here is an example datasheet[1] of an air to water heat pump (2018) (using Celsius here):
Mitsubishi PUHZ-SHW112YAA Guaranteed operating range (outdoor): Heating: -28 to +21 Domestic hot water: -28 to +35
On page 108 you can find the actual co-efficient of performance (COP) for different outside temperatures and inside water heating temperatures. As an example: at -10 and an water temperature for heating at 25 you still get a COP of 3+. That means that 100% electricity moves 300% of heat into your house.
[1]: https://www.mitsubishi-les.info/database/servicemanual/files...
I have a ground-source pump and its brilliant. But plenty of my neighbours are happy enough with air-source pumps.
Mitsubishi and Fujitsu seem to have a large lead in cold-climate air-source heat pumps that are rated effective to -13F (anecdotal reports greenbuildingadvisor.com indicating effectiveness down to -20F). Yet, talking to builders, contractors, friends, and family, you will often still hear old tales about how "heat pumps aren't effective below 40F". Heat pumps come in a wide range of flavors. It's clearly possible to heat your house exclusively using an air-source heat pump in most USA climates.
Modern, high efficiency air source heat pumps can work well even below 0F.
Most of modern heat pumps (air to water) can work without issue all they way to -15/20* C.