We replaced our old oil furnace (not quite as old as yours) with a natural gas one two years ago. I went with gas because I was tired of the soot from the furnace and the smell when the oil was delivered--I hated waiting for the oil truck, etc. I understand that the newer oil furnaces are much more fuel efficient, but I had grown up with a gas furnace.
I love the way our furnace operates, everything is great, except for Piedmont natural Gas screwing around with our gas bill- I went from $82 per month for equal pay to $283 a month in 5 months. They have adjusted it back down to where it needs to be ($113) but I just didn't like they way they played with the rates.
They also made some changes in our duct work, and the placement of our vents, so now our house is toasty, where it used to have cold pockets