You can buy a furnace and install it yourself, but you shouldn’t. This is due to various reasons like the increased risk of fire, dangerous carbon monoxide exposure, gas leak, or incorrect fittings. Installation of a furnace should only be done by a qualified HVAC expert who has years of experience. Installing a furnace without a license is also illegal in some areas. So, you should always let the professionals handle this because the money saved is not worth the danger.