Gas, oil, propane?
Sometimes, it's a tossup, based on what the guy you have install it prefers and knows how to setup properly.
First thing, though, is to probably figure out the size of the unit you really need...older ones are almost always oversized, often by a lot. Max comfort calls for the thing to run a lot when it is really cold out. Lots of on/off cycles is not very efficient, nor does it help with the longevity of the thing.
One option that I really appreciate is a variable speed fan. It starts out slow until the heat exchanger gets warm, then speeds up as required. WHen done, it also slows down gradually to extract all of the heat in the heat exchanger. I do not normally ever hear mine running. This is available on many brands (mine happens to be Trane), and, at least to me, is a very worthwhile upgrade from a standard system's single speed fan. There are also two stage output furnaces that help match the load, and improve both comfort and economy. Whether the economy would ever pay for the comfort improvements, I've not worked out, but the unit is more efficient than my old one.