I'm going to assume for this question that we're talking about strictly monetary value.  Because of course a fireplace will add intrinsic value to your home by making it a cozier place to live.  It gives a focal point to the room and sets the tone for decoration.  On top of that, we all know how the atmosphere and mood of a space changes when we're all sitting and staring into a flame. 

On a monetary front, there are a couple value increases I'm going to consider.  The first is added while you're still living in the home.  Efficient wood burning fireplaces can add value simply by lowering utility bills.  With the recent increases in heating gasses, especially propane, I have clients spending upwards of $600.00 per month to heat larger homes.  A cord of wood delivered to your home is going to average a $300 - $500.00 depending on where you live.  You'll probably burn around 2 cords of wood on a cold winter.  But if you've got the energy you can get wood for free, or from somewhere like a local department of urban forestry.  Reno offers cords of wood for $80.00, you just have to saw it into rounds, transport it, and split it yourself.  Gas fireplaces can do a similar thing by allowing zone heating.  That saves load on your furnace, and reduces gas usage by only heating the areas of the home where you are, rather than heating empty rooms.    Your home furnace is going to use around 100,000 BTU per hour for a modest 2,000 square foot home.  A gas insert can heat around 1,000 square feet on less than 30,000.  So there is certainly a potential savings there.  We should also assign a value to having a backup heat source in case the power goes out and your beautiful new electronic ignition furnace won't work.

Now let's talk about the sale price of your home.  This one is fairly hard to pin down.  A general rule is that the higher the overall price of the home, the higher the increase in value is likely to be.  Folks that are buying starter homes are more often looking for simply a lower cost, and amenities like fireplaces are less likely to get them to increase their offer.  As you go to higher end homes though, a beautiful fire feature can add significant value, estimates go up to $12,000.00.  Particularly at this level, anything that makes a potential buyer say "oooh", is going to increase their offer, or make them more likely to just pay what you're asking. 

What if you already have a fireplace though?  Would it be worth it to upgrade to a gas insert?  I'd say it depends on your purpose.  If you're looking at it strictly from an ROI perspective, or as a flipper, the no, it does not make sense.  You almost certainly won't be able to pull back all the money you invest in the upgrade.  If you're looking at it as a homeowner who's planning on living in the home for some time before selling, then yes.  You'll get the enjoyment out of it now, and you'll increase the value of the home somewhat when it comes time to sell.  The convenience of the gas insert versus the open hearth wood burning fireplace is something that anyone who's owned one will attest to. 

So keep your priorities in mind, as usual.  If you're strictly looking for return on investment, there are probably other things you can do to your home that will increase the sale value more than adding a gas fireplace.  But if you want something that will make your home more livable, enjoyable, and cozy, you won't regret this project.