I can give you an idea of what you need. Can't tell you the cost in your area. Some things may not cost, the utility company may cover it. In the long run it is worth it, especially if your oil burner is old.
If you are going with proprane, you need to get a tank set and the propane line run. Propane company should do this for free. If gas you need to get the line run from the street and the meter set. You can dig the ditch for the gas line yourself, if you rent a ditch digger and save some money. You may need to have your chimney cleaned. Then you need to have the new heater put in. Will you be wanting to switch to forced air, and don't have ac and duct work, then you need to have the duct work run. Once you get the heater done, you will as time goes on, be able to convert your other appliances over. If you don't need duct work and are in a basic rancher, the heater will run around $5000. Duct work might run 2000.
If you are getting this done, and don't have ac it is cheaper to add it now, rather then have them come back later. There isn't a huge labor charge, it's mostly equiptment.