Is there a heating method more economical than another?

Is propane, electric, or heating oil more economical than any other? I ran out of heating oil today and was wondering if there was a more economical way to heat the house rather than going through 3/4 of a 275 gallon tank of oil a month at $3.20 or so a gallon. We didn't even have many days that were very cold and we kept the house at 62 degrees. The windows are covered in plastic and I don't know what else to do because we can't afford to keep heating the house...