From an environmental stand point and at the global level, gas is better than oil because natural gas produces 25 percent less carbon dioxide than oil.
From a safety stand point oil is better because oil is not explosive and creates no harmful fumes. Gas furnaces are the number one cause of carbon monoxide related deaths. If an oil furnace malfunctions there are clear signs like soot and smoke but gas furnaces have no warning signs and will silently start producing CO.
The life expectancy of an oil furnace is almost twice as long as a gas furnace. A well maintained oil furnace will last up to 30 years, which a gas furnace is more like 15.
Because the price of oil is not constant and fluctuates regularly it can cause your heating costs to be unreliable from year to year. In comparison natural gas prices are relatively stable.
Many people over the years have switched to gas furnaces. Only about 8% of furnaces in the United States are oil burning furnaces, most of these are in the northwestern part of the country. There are some areas where gas isn’t offered and oil is the only option.