If there is any possible way to get natural gas thats the way to go. There is always the option of L.P. if you don't like oil.
I personally wouldn't have oil these days. The great government has made it so the the efficiencies of these units have to meet certain standards. To meet these standards the tolerances on these units are so tight that your newer furnace can have all kinds of combustion problems due to factors outside of the furnace (most of the time is the old chimney wont draft enough). So you are constantly sooting up. Not to mention 9 times out of 10 I can walk into a house that has oil and convert them over to propane for $1,000 less than I can just replacing the oil, and the highest efficiency you'll get with oil is 80% on your best days.
Also with oil you are ALWAYS subject to the market. With L.P. there are ways to play the market with the right gas suppliers.
Sorry for I wasn't around to help answer sooner, been busier than all get out with life. If you got any other questions I'll be more than happy to help out.