my house is all electric. My neighbors converted to gas a few years before we moved in. I'm pretty sure they just called the gas company to get started (having it run into the house, etc). I don't think it really cost them alot because they said they had planned to replace their stove and such at that time anyway.
When I talked to them about it they had no regrets, but they definitely spend more on energy than we do. I'm not sure what they keep their temperature set at in winter though. We keep it pretty cool in here, so that could be the source of the savings itself. I get a little paranoid when it's really cold out because I know the strip heat is on and it still runs nearly continuous. My electric bill shoots up to about $200/month during the coldest part of the winter.