Not all heating fuels are created equal - and not all will necessarily be available or appropriate for your home or the area it's located in. The fuel type you choose will dramatically affect the cost of your heating, as well as the heater options available to you, the amount of maintenance and cleaning required, and the levels of CO2 emissions your heater's responsible for.
Solid fuel heaters run on coal, wood and other combustible fuels. Where you live can have a big effect on the cost of solid fuels.
Natural gas is a relatively cheap fuel for heating, and is a popular option where gas reticulation is available.
Electricity is used for all kinds of heaters, but is particularly popular for space heaters because of how quickly they produce heat.
Solar energy is free, and while solar heaters aren't common, most people do rely on heat from the sun to keep their homes warm.