I have used the oil-filled, radiator style space heaters with good success. They are electric but are fairly efficient.
I covered the walls, ceiling and door of a 7'x7' garage room with Reflectix insulation and easily heated the room with one of these heaters at it's lowest setting. That was during a winter in South Dakota with no other wall insulation so it can be done.
But, electric heat is getting expensive in some parts of the country, especially with natural gas prices going up. This may not work for you.
One thing I have thought about is a pellet heater, but they don't work if the power goes out. That would be a nice feature to have with the amount of money they cost. There are cheap kerosene heaters but they are not as safe and don't have a way to vent the gases.
Tough call. I used to always recommend the space heaters described above but it really depends on your area and situation.