There are plenty of good reasons to choose oil fired home boilers for you family heating needs. They offer heavy duty heating that will hold up to the coldest of winters. They do need their own little infrastructure however, so they are probably not the best choice for people with mild winters.
In common with all forced hot water heating systems, the oil systems need a boiler, a pump, and a network of pipes leading to radiators of some sort. Since oil cannot be piped to the home (like natural gas, or electricity) it needs to be delivered and this means home heating oil storage tanks. These can be above ground or below, but they are one more thing to consider.
As far as home heating furnaces go, oil can stand alongside any other system. Proponents of natural gas would argue that this is more convenient and cleaner. That may be so, but many areas are not served by natural gas, and if you choose to run liquid propane you will need to find somewhere to store it! Over the last few years oil has been cheaper than liquid propane in any case.
Of course the running costs of your system will be influenced by current home heating oil prices, but this is the same for pretty much any heating system you choose to name.