They can be better depending on how much space you have available and on what your priorities are. Running an oil furnace usually means having to install an oil tank on the property to provide the necessary fuel. Those don’t need to be too big — a typical oil tank is about the size of a water heater — and they’re usually not that expensive, but it’s something you can avoid with a gas furnace if you already have gas coming in through pipes.
Oil is also more energy dense than gas, meaning it burns hotter, and it can often heat a home faster. This can be convenient, and depending on oil prices in your area, that increased efficiency may make running an oil furnace cheaper than using gas to heat your house. It also helps that you can buy oil from a heating oil Yorkshire like this one in bulk to be stored in your tank, meaning that — with a large enough tank — you won’t need to worry about price variations during the winter.