You have to decide what you can support.
Heating the air: this is the most comfortable method, using some form of convection heating.
Radiant heating: this is where you (usually) have visible light, often with a reflector. It heats more by the radiation hitting the body and is essentially local. Can feel OK on one side of the body and cold on the other.
Electricity: clean but expensive
Gas: undesirable combustion products. Burning LPG produces mostly carbon dioxide and water vapour: the latter can make the house damp, often causing condensation and mould
Kerosene: as for gas plus bad smell.
Electrical heating:
Night storage heating: provides good background convective heat 24/7 and is economical but requires 3-phase wiring and a special EAC installation. May require a complement of heating on very cold days, especially in the early evening. Silent.
Aircon heating: using the aircon as a heater is, by far, the most economical way of electric heating on ordinary power lines, and is forced convective. May be noisy.
Fan convector: effective and rapid but, like all direct conversion of ordinary power line electricity, is expensive to run as main heating method. May be noisy.
Oil-filled electric radiator: good background convective heating but, like all direct conversion of ordinary power line electricity, is expensive to run as main heating method. Silent.
Halogen or quartz radiator: relatively low power, giving sensation of warmth, but usually insufficient to heat the air significantly, so you feel cold the moment you move away from the heat source.
Gas: in order to keep the gas bills reasonable, these are usually radiative with the same disadvantages as the halogen/quartz electric radiator (plus the moisture problem). Requires frequent ventilation of the room to maintain a healthy atmosphere, thereby losing heat.
Kerosene: as for gas, slightly more economical but smellier and greater risk of toxic carbon monoxide emissions: must never burn with yellow flame.
Central heating (usually oil-fired) is very expensive to run but very effective. Much installation hassle if house is not built with pipework in place.
My personal preference, as my house did not come with central heating, is night storage heating which handles 95% of our heating needs. We occasionally run the aircon heating for a while if it is particularly cold but we do light a wood fire in most evenings, which reduces the electricity consumption in the sitting room (not sure that it is more economical, though). We have two neighbours with oil-fired central heating and their heating bills are much higher than ours.
Hope this helps.