Wood is not a viable option for us either. We hope to become energy independent, so our plan involves switching to geothermal heat, it runs on electricity but uses less than a regular electric furnace would. Because we hope to have a wind trubine in a couple of years, this makes a lot of sense for us.
My best advice is to think about your long term goals and plans and consider what fits best. I have heard of people brewing thier own biodiesel to use in thier oil heating system, but I don't know much about oil heat.