There is another method that would work: Use a X10 Universal Module to connect two ordinary thermostats together. That is an option if the furnace is controlled by a 2-wire 24V thermostat.
When the Universal Module is off, only the "low temperature" thermostat controls the furnace. When the Universal Module is on, the "high temperature" thermostat is switched in parallel, and will keep the furnace on until the higher setting is reached. While this is still somewhat of a kludge, it is certainly cheaper than the X10 thermostats.
Jeff