Fuel Cost Comparison Calculator
I just swapped out my 1950's oil boiler, and had to decide what I would replace it with. I considered a wood boiler, but didn't want to have to rely on having someone stoke a fire when I went away for two weeks (don't have room for storage tanks).
I ran some numbers thru the calculator link above and got a real surprise - an electric boiler at .14 kwh would cost $500 less than an 85% efficient oil boiler when providing 100 gigajoules of heat over the season. All that, and the electric install, including the service upgrade to 200 amp (including wired smoke detectors, GFCI upgrade were required, and new plugs where the should be) was going to cost me $2000 less than an oil install (mostly because I wouldn't need to line a flue or install a new oil tank) (Sorry for the Metric guys, but I can't translate it).
I don't have natural gas as an option - we here in Nova Scotia sell most of it to New England, and burn coal to generate the electricity.
The fuel cost calculator here on Hearth.com gave me some different numbers, more in favour of oil. Run your numbers thru and see what it gives you. In the end, I went with electric heat for the domestic hot water and boiler, and bought a wood stove, all for about the same cost as replacing my oil boiler with a new oil boiler. My wood is mostly free for the getting, as my inlaws own a woodlot.
As for efficiency, I realize that folks quote electric system efficiency at 33% when you take all the loses into account, but quoting oil at 85% is a lie - that is just the efficiency in my house, and doesn't count efficiency loses at the oil rig, refinery, delivery etc, etc.. Kind of like saying wood heat is carbon neutral -true if I eat an organic diet from my yard and cut it with an axe, but the 2 stroke saw and 1975 Chev that I run it to my house with are not carbon neutral. I am more inclined to say would has less impact than oil, especially when it replaces "old" oil appliances.
In the end, I expect my electric boiler, and the wood stove I bought with the money I saved not buying the oil boiler, will give me the smallest carbon footprint.