I'd set the house on fire just to keep warm in that kind of weather.
I've actually been pondering getting a wood stove, which is basically a controlled way of making a fire inside the house. I figure about 5k installed though, so still a lot of money, but if I actually ensure to always get enough wood every year and stay on top of it, I could use it every day and cut down on needing the furnace to run. The newer high efficiency catalytic ones will burn for like 12 hours on a single load. Wood is pretty cheap too especially if you get it yourself. (practically free)