Masonry heaters are the most efficient style of fireplace on the market today. They even out perform an EPA II wood stove. The technology is centuries old and has been used in Europe for many years. These fireplaces utilize a fast burning fire that is used to heat the surrounding masonry with a 2 or 3 hour fire then allowed to go out. The resulting effect is that hundreds of pounds of masonry are heated and slowly dissipate radiant heat for 12 to 18 hours. Many styles of masonry heaters are available.
Probably the most inexpensive way for you to have a fireplace is to purchase one of the hundreds of styles of self contained units that utilize metal chimneys, wood framing around the unit and your favorite thin veneer stone adhered to the framing and metal lathe. This type of installation generally requires no foundation and can give the homeowner the look and feel of a traditional fireplace for a lot less money.
Many styles of fireboxes have been built through the years, however these have proven to be the least efficient for heating purposes.