Introduction
Heating demand is broadly divided into low temperature demand for space and water heating, and high temperature demand for process heat in industry.
Time series of heating demand can be approximated by the degree-day assumption, which assumes that heating demand increases linearly with temperature below some threshold (e.g. 15 degrees Celsius).
Europe
Eurostat yearly energy consumption
http://ec.europa.eu/eurostat/web/energy/data/energy-balances
For years 1990, 1995, 2000, 2005, 2008-2014
Covers energy usage in EU, Balkans, Norway, Ukraine, Turkey, but NOT Switzerland.
Distributed by sector (Industry, Transport, Residential, Services).
Q: Is it safe to assume that non-electric residential and service energy consumption is for low-T heating?
Odyssee
http://www.odyssee-mure.eu/
This distinguishes between water and space heating by sector (Residential/Tertiary/Industry), but is incomplete (missing countries and years).
BMWi energy statistics for Germany
http://www.bmwi.de/BMWi/Redaktion/Binaer/energie-daten-gesamt,property=blob,ber\
eich=bmwi2012,sprache=de,rwb=true.xls
This distinguishes between water and space heating.