Gas wall heaters typically have efficiency ratings comparable to small furnaces. For rooms small enough that the heated air can circulate, wall units can provide a reasonable compromise between cost and efficiency.
Gas-powered furnaces are capable of heating multiple rooms if the volume being heated is large enough to compensate for the relatively low price of powering fans. However, wall units provide far better efficiency than electrical space heaters.
Central heating typically provides substantial savings over using multiple wall units. Boilers provide even better efficiency, although their high cost may make them too expensive for those with smaller homes, and the space they occupy might be too much for some.