We have a large two story house and we usually use a portable electric heater to heat whatever room we are in. We have it running basically 24/7 during the winter.
A family member told us that it is much cheaper to run our heater (which is natural gas powered) throughout the entire home since gas is cheaper. We have the vents closed in rooms that we do not spend much time in.
What is everyone’s experience?

Space heater just do that they only heat a space. Typically they are gas guzzling energy machines. And sure they take the chill off where you are at. But they hit you electric bill pretty hard.
You would be better off even with the rooms your not using is 45 degree the vents and the the rooms that you do use leave the vents open 100% (supply register vents). Also, to help reduce the cost, replace your furnace filter every 30 days. Use a basic pleated filter it does not have to be the most expensive one.

The other thing is if you have never had your furnace serviced since you have been there. I would also suggest having it serviced IE tuned up. That way your furnace is running at peak efficiency to keep the gas bill as low as possible.

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ever wonder this why? is it because our military completely conquered the mid-east?

Because the US government taxes petrol at a lower scale than many other countries. It is virtually being subsidized by the government – similar to their farmers who can compete favourably on the world trade market because of such subsidies.