As far as I know a gas-powered forced hot water baseboard system is at least as efficient as a comparable furnace system. The most annoying thing about them is that the location along the bottom of the wall of every room is exactly where you want to shove your furniture. Avoid electric baseboard head like the plague.

When it comes to checking for efficiency, it's pretty simple: you want the covers and fins to be in good shape. Other than that, I think the biggest things would be the same as any other system-- how efficient is the thing heating that water up?