I assume that when you mean furnace that you are going with forced hot
air.
(if you were sticking to hot water heat, you would have a boiler)

In any case I myself went from an oil to gas furnace a few years ago.

First and formost dont always go with the cheapest guy. Go with a
installer that had been around awhile and has a decent rep. Cant
hurt to check out you local BBB (better business) and see what
kind of complaints that they have. If they have 2 or so not big deal,
you cant make everyone happy.

As for brands, I went with a rheem 2 stage unit. Your price on the
unit
will vary with different features and model efficencies. If indeed you
are
going with a furnace, make sure to go with a decent air filter in
there.
I went with the middle of the line april air cartridge filter, no
complaints.

House is warm and I am happy.