The cool new product category is the concept of CHP cogeneration of heat and power. There is already an industry forming around this for producing power from concentrated solar or some other high grade heat, producing electricity for the home, and then using the waste heat to heat the home.
Heat-to-cooling is also fairly efficient (I grew up with kerosine-fired refrigerators).
And I think you can get more efficient electrical generation from the "cold" side : see
http://www.ammonia21.com/files/papers/ammonia-combined-power-refrigeration-cycle.pdf
and/or google Goswami
I don't know if it would be more efficient to distribute power/heat/cold from a central neighborhood facility, or deliver power/heat and do the cold in-home.
