An unfinished basement requires at least one GFI protected receptacle. In almost every case, the basement is a "damp" location, so ordinary boxes can be used.
The furnace -even if it is gas heat, with only a small blower- needs to be on its' own circuit. It does not need to be GFI protected. Indeed, where a spark igniter is used, I would worry about nuisance tripping of the GFI here.
While there is no code requirement, I would suggest a separate circuit for any sump pump that might be present.
Assumint this is a basement- and not a crawl space- the lights can be part of any lighting circuit, and need not be GFI protected.
