It partly depends on local/regional preferences. Oil and gas can keep your home toasty warm in winter. Resistance heat will too, but it's horribly expensive. And I don't like heat pumps. For 30 years, they've been saying they're getting better. But they still are inefficient in cold weather (such as you get in Philadelphia), and their backup is resistance heat. Oil is perceived as dirty, while gas and electric are perceived as clean.
As long as you're living there, you should do the math to figure out the payback period of switching your heating source (and your air conditioning, if that's involved). Get bids from several HVAC contractors; they should be able to do the basic calculations. Double-check their numbers, though, with the local utility companies.
If you're planning on selling, find out from a Realtor what buyers expect for your type of home.
Also, you note in your question that oil heat "is too expensive." If cost is the driving factor, then be sure to look at other steps you can take to reduce your heating costs: Better insulation in the attic, sealing around doors and windows, possibly replacing old, leaky windows with tight-sealing ones, electronic thermostat, furnace cleaning, and so on. Sometimes your local utility company will offer a free or low-cost analysis. Otherwise, you might have to spend some money on the analysis (unless you know, for instance, that you've got a problem that should be fixed). But the payback period is likely to be pretty quick.