Well, ok, so 30% thermal efficiency at the power station[1], and 10% loss in the transmission lines[2]? That gives us .3 * .9 * 2.5 = .68, or 68% thermal efficiency. That compares favorably to the manufacturer-claimed 62% efficiency of the gas heater I cited above. I can even imagine a scenario where an architect could design a house so that heat source of the water heater is near the heat sink of the fridge. In that case, the coefficient of performance of both devices would improve.
In case this wasn't obvious before, let me state this very clearly: Over 30% of the energy content of the natural gas used by your water heater goes up the chimney and is not used to heat the water. Gas water heaters and furnaces are NOT 100% efficient.
[1] Wikipedia claims that conventional external combustion (i.e., steam) power plants have a thermal efficiency of 33%.
[2] Wikipedia claims that transmission and distribution losses nationally averaged 6-7% in recent years.
