There are alot of factors to consider. Do you have access to natural gas or do you have to use propane? You get more BTU out of a gallon of fuel oil, but propane is cheaper and you can get furnaces that are 98% efficient vs 85% efficient for fuel oil. You can use PVC for most gas furnaces to vent and supply air to furnace, with fuel oil you must use insulated steel. How air tight is your building and how well insulated is it?
If it were mine, I would go gas for a few simple reasons. I already have a 1000 gal propane tank on site, so adding another tank would not be a big deal (smaller one though) I can just use a radiant type heater instead of a forced air, or something like a Hot Dawg style with less space used up.
I used to have fuel oil in our house but switched over to a propane combi unit years ago. No regrets.