I have not 'expanded' into HVAC work, but I do partner with some mechanical contractors to run their power. It has worked well, and I often get other jobs from the customers. I have a similar arrangement with a plumber.
Oddly enough, the area that seems most desperate is refrigeration. (HVAC and refrigeration are often different licenses, different markets ... much as alarm and CATV are in our trade).
I've seen two shops that had both HVAC and EC licenses, and the merger wasn't as seamless as one would hope. You dealt with different folks in the business, and the difference in responses was such that you might as well have called two different firms.
I should have spoken in the 'past' tense; I've relocated, and no longer partnered with those guys. This new area is, well, simply screaming for HVAC - the existing guys don't respond, and if you do get one out, they're not the least bit interested in work.