I heat with natural gas now, with one of those efficient wall hung boilers. It's quite cheap but a little higher than it was last winter. Our worst bill was $250 this winter. Not bad. Total for the year runs us about $1200; heat, domestic hot water, cooking (on huge ancient gas range with double ovens, six burners, and five pilot lights). The last oil house on my street was converted this year.
Here in Connecticut, I don't think I could do much better than this with coal. Being a "belt and suspenders" guy, I'd like to diversify by adding a coal boiler into the mix, but it is not critical what with gas costs being so reasonable.
We've definitely noticed that the gas flames on our kitchen stove look funky during deep cold spells, presumably because of the crap the utility is running to dilute the gas. A lot more orange flame and a lot more flickering.