Whoa, Whoa, whoa! Lets put some perspective to this answer shall we before we all jump on a bandwagon.
Your most efficient gas fireplace appliance will be a direct vent gas fireplace. they vent directly through the outside wall so it may or may not work with your current fireplace location. DO NOT go with gas logs for heat. vented gas logs are energy and fuel wasters and vent free gas logs effect your indoor air quality. Direct vent is the only way to go if efficiency is your key factor.
On electric…if you plugged your flue with a chimney balloon to prevent cold air infiltration and then put in a electric fireplace insert this is not a bad option. the electric inserts do a decent job putting out heat for relatively little KWH consumption.
Overall the direct vent will give you more heat efficiency for your dollar in use but it is going to be a couple thousand to have it put in. the electric fireplace option is maybe a couple of hundred and is a DIY project.

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