When I replaced my furnace a couple years back I asked for a heat pump - a previous house had it and it worked great. Turns out my contractor didn't ask the right questions and so mine only works to 25F - it still outputs heat below that, but not enough to keep my house warm and so I use the backup furnace a lot more than I want to.
A previous house the heat pump was sized to work to 14F. They make them that will work down to -25F, but since it gets to -30f where I live (about once every 10 years, but that is enough) we need a backup system so is probably isn't worth getting a system sized to as cold as possible.
Ground source heat pumps are a common option in rural areas - they cost a lot to install ($50k - and this is the cheapest version that needs a lot of land thus rural areas). They are likely to pay off if you live in the same house for 50 years, but the initial upfront costs are high (you do get a house worth $10k more than other heat option). Worth looking into if you are young and have reason to think you will live in the same house for 50 years.