Wall furnaces are generally used for heating a single room, while central furnaces send warm air throughout the structure. Most standard furnaces use natural gas, propane or heating oil, while many wall furnaces use electrical heating.
Furnaces that use fossil fuels need to be vented, so placing one along a wall makes it fairly easy to vent fumes outside. However, they typically blow air directly into the room, making it difficult to route air elsewhere. While standard furnaces take up more space and may need more extensive venting, they allow homeowners to avoid maintaining multiple heating units.
Electrical furnaces function similarly to electrical space heaters. Electric resistance generates heat, and fans blow this heat into a room. These types of furnaces can convert nearly all the electricity they use into heat, but losses at the power plant make them less efficient than units that burn fossil fuels directly.
In most cases, installing a large enough central heating unit provides better efficiency than using multiple wall furnaces, and sealing air leaks or installing new insulation is better at keeping specific rooms warm. A wall furnace may be the best solution for heating a portion of the home that is not warm enough during cold periods.