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In the colder regions, the weatherpeople have something that they call the Wind Chill index. It is predicated on the observation that a cold wind feels colder and more uncomfortable than cold still air.
I've moved from an old house with a magnificent top-of-the-line old furnace, to a postwar shack with a modern furnace. The old furnace in the old house gave you air that was hot. You could sit on the grate and feel the air swirling around you like a lovely hot bath. The new furnace in the new house delivers air that is only slightly warm, and blasts the air out of little ducts with the ferocity and the noise of a Shop-Vac. Owing to the Wind Chill phenomenon, it feels like you are getting hit with a blast of cold air. And the noise is a miserable imposition on your state of mind.
Like all aspects of new construction, furnaces now are worse in every single aspect than furnaces of old. A good old furnace will last forever. Some small part might break once every 25 years or so; you just unscrew it and screw in another one. New furnaces have circuit boards that will blow up, cost a vast amount of money to replace, and won't be replaceable at all in a few years when they stop making that particular circuit board for that particular model. You'll have to throw the furnace away and buy another temporary one.
Old furnaces produce hot air. They gently and quietly flow this nice hot air from large ducts. New furnaces struggle to give you air that is slightly warm, and the loud noise that they make squeezing this air through tiny ducts dominates your environment.
Of course everyone says that new furnaces use less energy. Well, yeah, they're cheaper to run. Are you just finding out now that better things cost more and lousier things cost less?