I think that most furnaces sold today are what you are calling direct vent. Because of their effeciency, a chimney is not needed and an expensive plastic pipe vents the unit to an outside wall.
They also make gas water heaters that use a plastic pipe instead of a chimney. They are called "power vent" waterheaters. Instead of paying $200 for a regular waterheater, you will pay $900 for a power vent waterheater. However, they are more effecient.
If you are building and put in a chimney (brick or lined pipe), then you have the option to install whatever you wish. If you build with no chimney, then you must use the power vent type units.
Its all personal preference. I like having a chimney. I want to be able to buy cheep waterheaters.