The most expensive part to replace in a furnace is typically the heat exchanger. The heat exchanger is a critical component of the furnace that transfers heat from the combustion chamber to the air that circulates throughout the home. If the heat exchanger becomes damaged or starts to crack, it can pose a serious safety hazard by releasing carbon monoxide into the home. Replacing a heat exchanger can cost anywhere from $1,500 to $4,000, depending on the type and size of the furnace.