Hard to say. Many central systems are old an inefficient. However modern high efficiency systems require a water drain which rooms often don't have available thus most room systems are not able to get the best modern efficiency. Most houses in Minneapolis I used to live there) have a single furnace in the basement which can achieve just as much efficiency as any other central system.

There also indoor unvented space heaters. They work and are very efficient. However they put all the combustion byproducts into the air, and thus really only useful in rooms that have a lot natural ventilation (tents for example)