Cinder11,
Well if you have natural gas already I suggest putting in a forced air furnace with ac rather than a heat pump. Attic or crawl space doesn't matter so much. I do think vents in the ceiling work better for AC than vents in the floor do for heat. If you know what I mean. I like pellet stoves for supplemental heat in cold basement or garage but don't like them for main heat in a large living spaces. (I grew up in Buffalo though and we had wood stove for our only heat and so I hate anything that reminds me of that.)

Also I hate working on stuff outside in the winter so I guess that tells you what I think of the outside idea.
Side note: Why not dig an extra 4 or 5 feet and have a full basement?
Gary.