Microsoft's already building data centers hooked up to district heating (Espoo and Kirkkonummi, Finland). Heatpumps are amazing.
(Seasonal heat storage is also a thing, Espoo's neighbours have tens of GWh of storage, with a new 90 GWh cavern in the works. Not sure if the systems are interlinked.)
Don't forget XTX Markets in Kajaani! At least last I heard. Free heating for an entire city in exchange for being allowed to build out a data center is a pretty good deal.