Just like Plumbing and Electrical contractors, HVAC contractors are required to be licensed by Wisconsin and I would only hire those that are licensed. Again, just like my other posts a licensed shop can send out non-licensed employees to do the work, and again, I have no problem with it, I just want the teacher around. You are probably going to pay good money to have a new furnace installed and it's fine to have a new person do the work, just make sure work is checked over by the seasoned employee. In some cases, the new guys are better as they are more careful doing their work so they don't want to make a mistake and double check as they go.
Again, you can run into the problem of the HVAC tech installing his own electrical, the guy might know what he is doing, and odds are he does, but you are paying to have a licensed electrician do the work, so why not ask for one.
I recommend you hire a contractor for one problem and a different contractor for the other problem to avoid these types of conflicts, or verify if separate people will show up.
The other insurance policy you'll want is to check if a building permit is needed for the work you are having done, and then make sure you get an inspection done when the work is finished. The other advantage to doing this is the multi-trades contractor will be more likely to send the proper guys out for each portion when they know permits are needed. At a bare minimum the work will get inspected/checked to make sure it complies with code.
If you have a big HVAC project give us a call and we'll see if we can help. If not, we'll recommend a couple people to call.