If you're buying a home with a gravity furnace, you should have the furnace replaced. Gravity furnaces are those huge ‘octopus' furnaces that can just about fill up a whole room with ductwork. They are called gravity furnaces because it's gravity that distributes warm air - the warm air weighs less than cold air, so it rises. These furnaces don't have blower fans, and there is little that can go wrong with them. While I rarely find any safety issues or problems with gravity furnaces, the main reasons to replace them are money, efficiency, and comfort.
The biggest concern for most people is the money it takes to heat a home with a gravity furnace. Gravity furnaces typically cost about twice as much to operate as a modern forced air furnace, because they are terribly inefficient. Gravity furnaces just have a huge flame that warms the air in the ductwork, and all of the exhaust gas that leaves the home through the chimney is wasted heat. On a gravity furnace, about half the heat generated goes up the chimney, making it about 50% efficient. Newer furnaces can be as high as 96% efficient.
While money and efficiency go hand-in-hand, I'm listing them separately because replacing your old gravity furnace is also good for the environment; the more efficient your furnace is, the less greenhouse gases get released in to the atmosphere. Replacing old gravity furnaces is a ‘green', socially responsible thing to do!
Your home will be much more comfortable with a forced air furnace. Old gravity furnaces operate by allowing the heated air to rise up the middle of the home, and the cool air falls back down along the outside walls, making the middle of the house warm and the outside walls cold (see diagrams below). Additionally, with a forced air furnace you'll now have the option of adding central air conditioning, which is not possible with a gravity furnace because there is no blower fan to distribute the air.
With all the benefits of replacing a gravity furnace, why don't more people do it? Cost. At least five digits. A gravity furnace and the ductwork for a gravity furnace will almost always contain asbestos. An asbestos abatement contractor will need to remove the old furnace, which obviously drives up the cost of the replacement. The ductwork will also need to be modified, because the new furnace should have smaller supply ducts going to the outside walls, and larger return ducts on the inside walls. This is the opposite of how gravity furnaces are designed to work.
Besides all of the logical explanations for replacing or not replacing a gravity furnace, you should also consider the emotional aspects; most home buyers that I work with are very nervous about buying homes with gravity furnaces. I always wonder how many potential buyers already passed on a home just because they were worried about the gravity furnace!