The energy efficiency of your furnace is dependent on its Annual Fuel Utilization Efficiency (AFUE), which basically tells you how much of your fuel is used for heating and how much is lost due to combustion (usually out of your vents).
The main parts of your furnace are the control system (thermostat and electrical controls), gas valve, burners, heat exchanger, blower, and duct and ventilation system. When your furnace creates heat, combustion gases are vented out of your home via a flue pipe.
If you have a 90% AFUE furnace, 90% of the fuel is used to directly heat your home. The remaining 10% is lost. High-efficiency furnaces have AFUE percentages above 90%. Think of AFUE as the gas mileage of your furnace.
Older, low-efficiency furnaces have an AFUE rating between 50% and 70%. Mid-range efficiency furnaces around 80% to 85%, while high-efficiency furnaces have AFUE rating above 90%, sometimes as high as 98.5%.