The problem with that is the infrastructure you need to have in place. It does have the advantage of solving security, maintenance and latency issues you have with data furnaces.
But you really should have that infrastructure around anyway -- in the city I live in, heating costs are a joke (I pay about 11% of what it cost my grandparents to heat their home, even though it is only about 20% larger -- though it is difficult to compare directly since I live in an apartment) because we reuse excess heat from some local factories (and make them a bunch of monies in the process).
[1] http://en.wikipedia.org/wiki/District_heating