Updating the furnace (as suggested) needs to be looked at carefully
because payback can take a long time. Of course, if the furnace will
need replacing in the next few/5 years, replacing can make sense.

My oil-fired boiler has a powervent and vents out the wall, which if it
meets code in your area is an option. What I don't like about it, is
the noise (maybe a newer one would be quiter than mine), and the fumes
do have some smell, and are now distributed near ground level.

You could have a new flue put in on the exterior that takes up a lot
less space than the chimney.

If you go forwards with this, you might be able to save a fair bit of
money removing the chimney yourself, or contracting that out as a
seperate job (after the furnace is plumbed to a different exhaust!).

Dave