You're not seriously suggesting that leaving your computer on all night is a more energy efficient way of heating your room than using an electric heater?
In my house we obey the laws of thermodynamics
To respond to you and PrinceScamp, all the energy has to go somewhere, and it ends up as heat. For there to be an inefficiency, the energy would have to leave your house by another form - as I said, the most likely issue is sound.
Well by efficiency I how fast will it heat up my room?
That's power, not efficiency. And since we're discussing cost (either monetary, or cost to the environment), why does the speed matter?
You're quick to dismiss spinning fans... How much work needs to be done by the spinning fan on the surrounding air to remove heat from the CPU, and pump it around the room? A lightbulb is 96% efficient at converting electricity into heat, but you don't heat more than a bird's nest with a lightbulb, because that heat isn't getting anywhere without a big fan to push it around. That's why electric convection (fan) heaters are actually quite inefficient, in pure Heat_Out / Electricity_In terms, but in terms of useful work done in actually getting the heat around the room, they're waaaaaay more efficient.
The lightbulb efficiency is how much is coverted to *light* as opposed to immediately being transmitted as heat. But it all ends up as heat eventually. An electric fan is also 100% efficient at coverting energy to heat, ultimately. The energy used by the computer's fans still ultimately ends up as heat.
And my gas powered radiators radiators have no fans to "pump it around the room", but they still work (the answer is the heat moves by convection).
(The main problem with a light heating the room is that they're usually in the ceiling, and heat goes upwards - but computers tend to be on the floor.)
There's just no way you can claim that a computer can be used to heat a room. It shouldn't even be considered, especially if we're talking overnight.
The reason a computer would be poor at heating a room in most cases is not because they're inefficient, but it's because they don't use that much energy compared to the kind of energy you use when heating a home. As Genocidicbunny points out, the energy used by most computers isn't that much more than a (non-energy saving) lightbulb.
For a comparison, my small electric heater uses 3000W - 10 times as much as a typical desktop computer. And even that won't heat my whole house very well. (And before you say it, no, gas wouldn't make any different - a 3000W gas heater would have exactly the same effect, the difference being that the cost of the gas would be cheaper, because there's an inefficiency in making the electricity in the first place).
By arguing that computers aren't very good heaters, you're just arguing the point that the cost difference between gas and electricity isn't so much after all. You can't have it both ways and claim that computers waste lots of energy, but also aren't very good heaters.
And that's granting you rather generously the inability to heat your house with gas.
I already covered the electricity versus gas point. I'm not suggesting that someone heats their house entirely by electricity - my point is that if you're leaving the computer on, the cost isn't equal to the cost of the electricity, rather it's the difference between the electricity and the equivalent energy in gas that you would have used. And presumably in most cases, the heat from one computer isn't sufficient from an entire house, anyway.
In the UK at least, there are some houses which have electric heating. Similarly, in the depths of winter, people might stick on an electric heater or fireplace to warm themselves in addition. Whilst these aren't as efficient as doing it all by gas, you don't hear people saying "How wasteful of you to turn on that electric heater in the winter!" (Also for people without thermostats on each radiator, using electric heater in one location might be cheaper than heating the whole house by gas, if you only need one room to be warm.)
ETA: Here's a question - if it's hot and you want to cool the place down, is leaving the fridge/freezer door open a good idea?