If you have natural gas available then natural gas is the most efficient way of heating a home during winter.
Natural gas is the cheapest form of heating fuel that can heat your home up nicely for less cost than propane, heating oil or even wood heat.
If all you have available though is wood heat or propane or oil then the wood is usually much cheaper per BTU and can keep your home much warmer than propane would.
Propane can cost as much as $500.00 per month with very little heat coming from it but if you use wood you may pay only $300.000 per month and be much warmer.
But even if you paid $500.00 per month for firewood the heat from it would be much warmer than propane.
Electric heat is the most expensive form of heating aside from heating oil.