What do you mean by "inefficient"? 100W goes into the bulb and the same 100W go out. Energy remains in the room. How is it different to burning gas to get the same 100W? Or am I missing something?
A 100 Watt light bulb consumes 100 Watts. It emits 100 Watts. That's 8,190 BTU every 24 hours, and it is perfectly efficient at doing this.
At $0.1745 per kiloWatt hour, it costs $0.419 to produce those 8,190 BTUs.
A natural gas furnace at 90% efficiency, meanwhile: Yeah, 10% goes right out the pipe and is lost.
But if natural gas costs $1.346 per therm, then producing 8,190 BTUs of useful heat costs closer to the realm of $0.123.
One thing costs about 42 cents. The other thing costs about 12 cents. 42 moneys is more than 12 moneys. :)
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I might opine that the most cost-efficient way of dealing with an incandescent light bulb is usually to immediately replace it with an LED bulb, and then landfill the old thing even though it still works.
4-packs of 100 Watt-equivalent LED bulbs are $12.97 at Wal-Mart, or about $3.24 per bulb. If it's the heating season and natural gas is being used at 90% efficiency, then replacing the incandescent pays for itself in about 300 hours of use. The LED will then continue to work and save money for thousands of additional hours.
Compare that to a modern NG furnace, which can be 90% efficient or more.
So if you just want heat, burning the NG directly is generally more energy efficient than burning NG to boil water to drive turbines to generate electricity and then converting that electricity back to heat via resistive heating.