We recently discovered that Direct Energy marks up their parts by 400% over retail cost. They also charge a "diagnostic fee" on top of their labour charges. Since their protection plan only covers a maximum of $1000 per year this price gouging makes the plan close to worthless. This type of price markup done under the covers of an insurance plan is illegal but there doesn't seem to be any way to stop them. Complaints - they could care less.
My advice: Take the money you would pay for a protection plan and put it in a savings account. Find a local company that will service your heating equipment for a fair price and pay them on an as-needed basis and you'll probably do just fine. If your furnace is old consider getting a new one which will have a 5 year protection plan built-in and will likely save you energy by being more efficient.
For more complaints about them try this: http://www.ellenroseman.com/?p=120
Or this: http://www.ontariotenants.ca/electricity/articles/2004/ch304e16.phtml