Yeah, forced-air heating is pretty much the most common way of heating in the US. It doesn't actually stir up much dust, because at the point where the air is heated there are fairly large air filters. They're changed every couple of months (at least in my house, where the same system runs the air conditioning) to keep the dust down.

I take the vent covers off about twice a year to vacuum out accumulated dust, once before I turn the heat on and once before I turn the air on, and it seems to keep them pretty clean. There are companies that specialize in fully cleaning the entire ducting system, though I've never hired one.

They make a little noise, but I'm so used to it that I don't even notice. Until it's not happening, and then it's 'oh hell, something's wrong'.

They are apparently very efficient. I don't think I've ever met a hot water heating system. My grade school had a steam-radiator heating system -- which had the pipe burst and destroyed everything in my homeroom when I was in fifth grade, thankfully we weren't there -- but that's as close as I've ever been to one of those that I know of.