Propane pricing follows oil as it requires oil to produce it. Propane requires more processing and usually costs more per BTU. That said we have both. Oil for heat and hot water. Propane for cooking and drying clothes.
The following link is a great fuel comparison tool. Adjust the cost per fuel and efficiency rating.
In my case, I have been comparing a high efficiency condensing propane boiler to my oil boiler. Oil is $3.00 prebuy this year and my boiler is 84% efficient. The high efficiency propane is 95% and cost might be $2.30. Let the spreadsheet grind the numbers and the are close in cost. Spending the $3000 or so for the boiler doesn't make sense for me.
IMHO, pellets and wood are too much work(wood if free is great cheap heat). Coal is a very interesting alternative with the new coal stokers available.
www.eia.doe.gov/neic/experts/heatcalc.xls