Upgrading new furnace system?

OK, I am sure this has been asked before, but I am clueless when it comes to HVAC. We bought a 60 year old home in April that has an oil furnace. I live in Ohio and this winter has been pretty cold. Obviously, our furnace has run quite a bit and we have filled the oil tank 3 times already at over $300 a pop!
Now we are looking into new furnace systems because we can’t afford filling up the tank this many times. I know we have both electric and gas options. I have read both sides of the debate, but still need a little help deciding. Won’t it cost a lot for me to run the gas line from the street to the house? Will gas end up being cheaper than electric to run?
I have priced it before and know that electric will be cheaper to install, but have also read that it will not be as warm and could end up increasing our electric bill significantly!

Any advice is appreciated. Thanks!