Natural Gas is typically cheaper to use than propane, and electric is the most expensive.
To answer the question, we need to know more information. Is you area heated with forced hot air, hot water baseboard etc.? Does it presently vent into a chimney? Is the appliance in a finished room or an open basement? Photos also help.
Typically in New York State, if you are doing a typical replacement of a 20 year old forced hot air furnace with a 90% efficient furnace, gas would be approximately $3,000.00. Propane would only be $100 to $200 more for a conversion kit. Electric could be less to install but could cost 20 to 30 percent more to run. Please contact us with any questions.
Barry Sherer
CGE
Complete Heat

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