We've had both...I believe that our gas bill this winter will far eclipse anything we've ever paid with electric, due to the increase in gas.
For comparison, though, my parents have electric heat in a 1800 square foot house, and last February, their bill for heat and water was $278.
My house is almost 2900 square feet, my bill includes gas (for heat and the hot water heater), electric, sewer, water, and a $25 county fire department fee, and it was only $331 in February last year.
So it's a toss-up. I am scared to run our heat a lot, and it has been below freezing here the past week. Dh and I are keeping our thermostat downstairs on 67, the upstairs unit on 65 (the heat from downstairs rises and the upstairs is actually warmer), we have a space heater in the bathroom for morning showers, a heater in the bedroom at night, and one that we turn on in the living room in the mornings. I am living in sweatsuits, we put on the flannel sheets, and have basically resigned ourselves to a cold winter. When we get the next bill, I'll see what adjustments I need to make.