Oil prices are more volatile over time than propane. There are conversions you can do to figure out what the cost of each would be per 100,000 btu's. I've attached a link to help you do your calculations. You'll need to figure out the cost per gallon of each fuel in your area.
In general, propane burns cleaner than oil and you can add other options like the water heater or stove if you like. If natural gas does come available you can convert your propane equipment to natural gas.
If you do convert from oil, you'll need to have your oil tank either removed or decommissioned. There is a one time charge for this.