Bo - price of oil is fluctuating constantly. With the summer driving season winding down, relative "stability" in the Mideast and a rather calm hurricane season so far (knock wood), prices for oil and gasoline are coming down. With a constantly fluctuating commodity like oil, it may not be worth the investment to switch. A new unit using electric or NG would be subject to similar fluctuations. In fact, NG was priced pretty darned high last winter and was the top of news. Because of a mild winter, the high prices didn't stay in the news, but they are still there and will likely be high again this winter. As far as electric, unless you live in a county that's close to a generator source that does not depend on oil, gas, or other fluctuating price commodity, there's no guarantee those prices won't rise either. So given the uncertainty of fuel prices across all energy sources and the substantial investment cost of having to install a new furnace unit, you may end up being better off sticking with what you got. Its a lot like all those people that rushed out to buy smaller cars or hybrids to save fuel. If they had done the calculation, sticking with the car they had (with payments already made), and paying higher gas prices was probably cheaper than shelling out $20K plus for a new car that saved on a few hundred a year in gas costs.
Good luck with the decision!