Heating with oil is the most expensive and I don't recommend it at all.
It can take around $2,000.00 to fill the tank and you might be filling it again in 2 months. So you could be spending upwards of $4,000.00 a year to heat your house. YIKES.
So on average the monthly cost would be around $400.00 to $650.00 per month to heat with oil
I'd go with natural gas or get a wood stove if you have free wood to burn.