We did this, and it was one of the best things we ever did!
I have allergies, and it really helped getting rid of the wood burning fireplace (not to mention tracking in debris with the wood coming into the house).
We did ours fairly economically. I actually bought our gas log set on clearance at a Wal-Mart Supercenter (found them by accident) and paid under $30 (had been around $300). You might check with Home Depot or Lowes to find out when they will clearance their stuff too.
We hired someone to run the gas lines, etc. (didn't want to take any chances on the gas not being done correctly). Of course, the gas company inspected everything before hooking up the gas.
I don't know that it makes any difference in our electric bill, but it does a good job of keeping the living room warm (we don't have a blower on ours) and is beautiful to look at (very realistic in my opinion).
Personally, I consider it a great improvement over the wood buring version. In fact, we just got back from the Smokey Mtns., and I didn't even look at the cabins that had wood fireplaces when I got ready to make a reservation.