I'm an engineer for a natural gas distribution company, so I feel qualified to answer this (for once on this forum!) :)
As others have said - it very much depends on the company that will deliver the gas to you, so check with them and they'll give you the scoop. If your neighbors want gas service too it will definitely increase the likelihood they'll run a new main for no cost to any of you.
Our company, for example, will extend a main up to 400' in order to reach a new customer for no charge. Any more than that is still possible, but it would take a little further study and approval (where you can sell how many neighbors want service and what kind of appliances everyone plans to use). We'll run up to 300' of service line (from the road to the house) for no charge as well - I want to say any in addition to that is $5/ft, but I don't have that in front of me right now. If you could demonstrate a larger than average residential load you might qualify for more footage of free service line. This means nothing to you personally, but will give you a ballpark idea of what to expect or something to compare your quote to.
As for cost comparisons - there's a lot of variety based on which types of units you plan to install/compare, but on a straight $/MMBTU (dollars per unit energy) basis right now (April 2008) in Middle TN, natural gas is roughly half the price of electricity ($13.79 vs. $26.99) and a little better than that compared to propane ($13.79 vs. $29.30).
Of course that will changed based on when and where you are looking, but propane is a derivative of natural gas, so it will always be more expensive except in rare cases.
Feel free to shoot me a PM or email if I can do anything to help -
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