I have a heat pump in my house. My house is over 100 years old and could stand to have new windows and improve insulation and it is shaded almost 24/7 by large, mature trees. On the coldest of days, it does run a lot (with gas as an auxiliary to help get up to temp sometimes). Yes, my electric bill is a bit higher in the winter but overall still lower than others I know. And my gas bill ticks up a bit sometimes too. If I upgraded windows and insulation, I have no doubt it would improve even more. I do tend to keep the overall temp a bit lower and just wear a sweatshirt in the house. According to my power company (take the info for what its worth), in the winter for my area and homes my size, I tend to fall in to the "efficient" category overall (on rare occasion when we had average temps lower than normal I may slip into "less efficient").
When it comes to cooling however, the pump does wonders. Combined with the huge, mature trees that keep my house almost completely shaded, it is super efficient in the summer at cooling and I get a "very efficient" or "or most efficient" type rating from the power company. My electric bill in the summers is way lower than friends who have traditional air conditioners.
I also have an older heat pump from what I understand. Newer ones are even better at maintaining temp efficiently. I certainly plan on looking into improved insulation and upgrades to windows when I can. And if/when I sell and buy a new place, I would certainly place a heat pump as a high priority.