Re: $ Oil VS $ LPG
This site gives cost-comparison formulas that may help you.
http://www.gearypacific.com/ComfortZone/11 What Does it Cost to Heat.pdf
It does not evaluate fuel oil, but given the btu / gal cited by another poster, you can figure it out. Since this site was done a few years ago, the cost factors will be significantly different, of course, as well as regional differences.
This site can help, too (actually a little better):
http://www.puc.state.nh.us/Gas-Steam/ConvFctr.xls
In general, the fuel costs from least to most are natural gas, oil, LPG (i.e. propane), and electric as most expensive. This is for fuel costs alone. You also need to factor in year-to-year maintenance costs. For ongoing maintenance, lowest to highest costs would be electric, natural gas, propane, and oil as most expensive. You'd have to consult costs for recommended annual service in your area.
When we replaced our gas furnace (10?) years ago, we could select from a 70% to 95% efficient furnace. At that time, we determined that the higher initial cost of a 90%+ efficiency would be so long to recoup that we went with an 80%. Up-front costs also varied considerably by vendor / installation company.
Since you're contemplating a system replacement, you would need to factor in system purchase and installation costs. Where is your oil tank? Can it be removed readily? What about disposing of the unused oil? (Around here, that can be a major PITA). Can a truck get in to install a propane "pig"? What about your water heater?
From a purely monetary standpoint, you're going to have to get some figures from 2 or 3 different companies for both propane furnaces and propane suppliers and oil suppliers, each for furnaces of different efficiencies. Then run the numbers yourself for an estimated 25-year life expectancy. Then the biggest test - your crystal ball guess on relative expense of each fuel over the next 25 years. They'll all go up, but which one will go up more?
One final observation. In the upper midwest, most people have converted from oil to either gas or propane. Very few homes are heated with oil. If you've got a realtor friend, talk to him about residential heating -- what's prevalent and what's becoming less so, and why?
Finally, there are other alternatives such as solid fuels (wood, corn, etc) that may be ok here but would be really problematic in a densely populated area like Long Island. Another alternative already mentioned is geothermal (such as a heat pump). It looses efficiency in cold areas, and if the ground under you is hard rock (like I think Long Island is) then it can be very costly and less efficient.
Does your area have an annual home show put on by area home improvement contractors? That can be a prime source to talk with people and start to get some estimates and discussion of advantages /disadvantages.
HTH.
Al