How bad is it to attach a gas water heater to a gas furnace electrical circuit?
According to the National Electrical Code, a gas furnace (or any other central heating equipment) must be on its own circuit. So connecting a water heater (or anything else), would be a code violation.


  National Electrical Code 2014
  
  Chapter 4 Equipment for General Use
  
  Article 422 Appliances
  
  422.12 Central Heating Equipment. Central heating
  equipment other than fixed electric space-heating equipment
  shall be supplied by an individual branch circuit.
  
  Exception No. 1: Auxiliary equipment, such as a pump,
  valve, humidifier, or electrostatic air cleaner directly associated
  with the heating equipment, shall be permitted to be
  connected to the same branch circuit.
  
  Exception No. 2: Permanently connected air-conditioning
  equipment shall be permitted to be connected to the same
  branch circuit.
  
  Chapter 1 General
  
  Article 100 Definitions
  
  Branch Circuit, Individual. A branch circuit that supplies
  only one utilization equipment.