New oil furnaces are far more efficient than those of ten or twenty years ago. But gas furnaces are becoming standard; they have a significant number of advantages over oil furnaces.
Though oil furnaces are no more the dirty systems of older times, they aren't as clean as gas furnaces; and they require more maintenance, and large storage tanks, and larger insurance costs, and pose more risks. And their running costs are also typically higher.
The best choice
All these can make gas furnaces a better choice, economically and environmentally.
Anyway, switching from oil to gas can is expensive, and you may want to consider it before making the switch; and you may also consider regional forecasts for gas and oil prices, and the cost of each type of furnace and its energy-efficiency...
New oil furnaces efficiency vs. New gas furnaces efficiency
The efficiency (AFUE: Annual Fuel Utilization Efficiency) of new oil furnaces has increased a lot during the last decades. Most new oil furnaces have AFUEs between 80% and 90% - an increase of 20% or more relative to older units. High static pressure burners are at the core of these new efficient units.
It's true that top gas furnaces are more efficient: gas units with AFUEs of 95%+ are now common; but the higher efficiency of high-premium gas furnaces come at a price: they are more expensive... In other words: for the same efficiency, the prices of oil furnaces are similar or lower than those of gas furnaces. See: Furnaces Prices and Paybacks.
Besides, the performance of any type of furnaces is largely determined by the quality of the installation. Factors involving the ducts or the venting system are more important than relatively small differences in the AFUEs of the furnaces. And that too should be considered.
Obviously, this doesn't mean that oil furnaces are a better option. They aren't. Only that upgrading from a oil to a gas system have costs that you may want to consider.
Switching from oil furnaces
Bottom line: if you have a oil furnace, upgrading to a gas furnaces may not be cost-competitive enough due to installation costs.
But all depends on the relative prices of gas and oil in your state, and on the evolution of prices (something that seems favorable to gas); or on environmental and safety considerations (if buying a oil furnace, do not forget to choose new sealed combustion features; that's important for your safety).
And most of all, if you are considering switching for gas, and doing a large home renovation, do not also forget to consider alternatives to central furnaces, namely the best of them all, based on super-insulation and sealed homes, with small wall-furnace heating systems or other equivalent ductless space heaters.