The cheapest way to heat your home is with a wood burning stove and free wood that you cut down from your own property.
I burn wood in a wood burning stove all winter but do have a natural gas furnace to keep the house warm at night and during the day when I'm gone away from the house.
Natural gas would be the next cheapest way to heat your house using a forced air furnace.
Propane and oil heating are the most expensive ways to heat a home.
Even if you have to buy firewood for your wood stove it's still cheaper than propane and heating oil or even electric.
Electric is another expensive way to heat a home as I've tried it before with baseboard heat and my electric bill in the winter was $600.00 per month and I barely stayed warm.