Inefficient wood burning for heat (in terms of compared to that generated by larger installations). There are some fairly efficient wood stoves, and they are more efficient than retail energy changed to heat... but they're still less efficient in terms of combustion than gas.

The less efficient than gas for combustion means an increase of soot and smoke. The soot leads to a reduction of albedo and an increase of heat capture in the environment.

While not always the case, many times, the design of the heating system for wood often has a significant portion of the heat escape the house (compared to a forced air gas furnace). This again reduces the overall efficiency of the system compared to other options.

With both gas and wood it is often the case that this is a whole house solution - not just heating the current room the person is in. There are many approaches to heating the person rather than heating the room (or house). I found http://www.lowtechmagazine.com/2015/02/heating-people-not-sp... is an interesting read - the chairs and beds of old make a bit more sense in their design.