All modern furnaces I've seen take #2 - use air from outside. Despite that they can get to 99% efficient. It doesn't take much energy to heat up that cold air.
The efficiency rating of a gas furnace assumes the incoming air temperature is close to the desired temperature of the house- that's why it is negligible in the artificial efficiency ratings. If the incoming air is below freezing the efficiency must be different. I wish I could find a study that properly quantified this.
20 years ago quite common.