There are many reasons why choosing oil to heat your home is a better decision than converting to another fuel source. However, we also realize that when making that choice you have options, like heating oil vs. natural gas. Before making this important decision it pays to sort out the facts from the fiction about both fuel sources. Cost of Furnaces and Boilers: Natural Gas vs Propane vs Fuel Oil. Though it is a tight race with respect to price per million Btu between natural gas, propane, and fuel oil, with respect to natural gas boilers and furnaces vs fuel oil furnaces and boilers, the cost differences are not even close. Over the entire period of ownership, natural gas is typically the most cost-effective heating option available. However, the cost of installation of a natural gas furnace, especially in a home that was not previously equipped with a natural gas line, is more expensive than the installation of other types of furnaces.