I think the first questions should be where do you live, and how much do you normally spend on fuel a year?

Next - approx cost of the other things. Gas line, panel, each system, new tank.

Personally, since you don't already have gas in the house, I think I would avoid that route.

As others have said, upgrading your panel has other benefits that help future proof your home.

Another thing to consider is parts availability. If something breaks on your furnace today, how hard would it be to find a replacement part?

Another thought - oil furnaces can usually run on minimal electricity. If you loose power, a small generator can power an oil furnace. You would need a much larger generator to do that with a heat pump.