[jeff5may]

If you pump lots of warm-ish well water through a pipe to your heat exchanger, you are constantly exposing your heat exchanger to fresh warm water. Not the same as hanging your heat exchanger down a borehole! Unless your well opens up into a cavern or underground river, you will quickly draw all the available heat from the well due to stagnation. After that, the borehole will freeze, with disastrous consequences. The ground is not a good conductor of heat, many orders of magnitude less than flowing water.

Running the chilled water back down the well you draw from will have the same effect: the ground surrounding the loop will quickly cool off and your heat extraction will quickly diminish. Since no fresh warm water will be extracted, your underground heat capacity will be limited by the volume of recirculated water. This method in particular is highly frowned upon by the government (what if something gets in the water? it would contaminate the aquifer.) in any and all locations on Earth. Pump and dump systems are a gray topic in general, but would likely be accepted if profesionally installed.

Consider this from an economic perspective as well. The least expensive option is the one mejunkhound described. Let's just say your well is right under your heat pump. You may be able to plumb the refrigerant line with only 100 feet of 3/4 inch tubing, building a coaxial exchanger with an inner copper tube only. The copper tubing will cost around $200 US, the PVC pipe and fittings will likely be under $50. A manufactured coaxial exchanger of comparable capacity will cost over $1000, and a plate heat exchanger will likely cost upwards of $2000.