I think pilot lights are still pretty much standard on certain appliances, like water heaters and fireplaces. Probably deliberately so they can run without power. All my other gas appliances are electronic ignition, e.g. we have to use a lighter to start the range when the power is out.

In the case of gas fireplaces, all of the heat generated is used, so I would think it would be perfectly efficient. As long as you shut it off during the warm seasons, anyway.