There are a couple of things you need to consider. While it’s true that you typically want to locate any furnace as close as possible to the area it’s heating, you also need to consider accessibility. In 20 years that dirty, old furnace will have to come out and a new one go in. Furnaces also need regular maintenance. Do you really want trades people tramping in and out of the inner recesses of your home for furnace maintenance and replacement?
Here’s a suggestion: Have you considered a hydronic, infloor heating system with a boiler or two in the basement? One nice thing about hydronics is that the heat produced can be efficiently transported to far-flung parts of any house. You simply run insulated pipes wherever heat is needed, with very little energy loss along the way. This fact eliminates the need to have your furnace located in anything but the handiest spot in the house. Also, today’s compact boilers are amazingly small.
My current favourites are made by a Canadian company called New York Thermal (506-432-1130). They even offer a wall-mounted model that puts out a whopping 350,000 Btu/hr of heat while only measuring 24” x 21” x 36”.