My wife and I moved from an apartment (1,300 sqft) with steam radiators into our new home (2,100 sqft) which has forced air heating. I would say that other than the noise the forced air works just as well and the house stays just as warm as our old apartment at the same thermostat setting. There is almost no dust in the new house, which probably means the filter was recently cleaned or is new.
As an engineer, instinctively I think both systems are probably just as efficient if the same fuel is used and there is comparable insulation in the home. The major difference between the two is that air is easier to heat but loses heat more quickly, whereas water is harder to heat but holds the heat longer. But in the end it's just how many BTU's you put into the system (heat input) vs. how many BTU's come out of the system (heat loss), and that depends mostly on the fuel used and how well insulated your home is.
As a side note, I think most dust in the home is actually dead human skin, although obviously if it is dusty outside it will eventually also get into the house.