First of all, you do not have a gas furnace, you have a gas-fired steam BOILER.
That rusty looking pipe is a return to the boiler and it is definitely NOT good. It is caused by a leak in the piping system, either at the boiler or up inside the insulation of the vertical pipe.
When was the last time you had this boiler serviced? Do you ever drain any of the water from the boiler? Do you ever check the safety devices?
It appears that the pipes MAY have asbestos-containing-materials (ACM) for insulation. That means that they MUST be treated as ACM until tested and proven to not contain asbestos.