My 2 cents
Out here in California oil home heaters are extremely rare. Any that were installed years ago have probably been replaced by gas or heat pumps.
There's an historic mansion in the hills here that is on a big piece of property (albeit right astride a major quake fault). It was built in the late 1800's (historic by our standards) by a man who was heir to a big coal shipping fortune. Needless to say, it was heated by coal. But it's all gas heat now. Sadly, the heating contractor punched these gawd awful holes through the intricately patterned hardwood floors for the gas registers - really a major crime.
But I digress. I would imagine (as usual I have little fact to back it up) that it might be difficult to get an oil fired furnace to run a condensing heat exchanger because of the more corrosive nature of oil fumes vs. natural gas fumes. Even stainless steel heat exchangers can corrode over time. And like was pointed out, most modern gas furnaces installed these days are not of the condensing type anyway, especially when an older home is retrofitted. That's because the venting requirement for condensing furnaces are quite different from the sub-90% efficient furnaces, requiring a small diameter stainless chimney and a plastic drain tube for the condensate with some way of neutralizing the acidity of the condensate before it enters the drain/waste system. Even furnaces in the range of 80% to 88% require different venting than older less efficient gas furnaces, because so much heat is extracted from the exhaust that older, large diameter masronry/cement/asbestos chimneys don't heat up enough with a mid-80's efficient furnace to produce a good draft and also the moisture can condense in the large chimney causing you guessed it, condensation/corrosion problems. The additional cost of a 90% or better condensing furnace, as well as the venting/draining issues, may not make the less than 10% improvement in efficiency cost effective. Additionally it's important to look at the energy consumed by the electrics of a high efficiency furnace. If the fan or other component winds up running all the time then the cost of the electricity to run it might negate the improvement in extracting heat from the fossil fuel.
Also I think we need to be careful when we are discussing burner efficiency vs. furnace system efficiency. I could see a 99% efficient high pressure oil burner being place in a furnace that is "only" 88% efficient.
As another aside I am wondering if high grade heating oil is pretty much the same as diesel fuel, but cheaper, what is to prevent the owner of a diesel vehicle from using it on the road? At this point I'm jealous of the 49 states because here in California no new diesel passenger car has been sold since 2003 - the air quality regulations won't allow it. This despite the great appeal of biodiesel in this very forward thinking liberal state.
Finally a heat pump system can be quite efficient in a very cold climate, but only IF the system includes a ground/water loop to absorb heat from mother earth. Such systems can be very expensive to install (and may be impossible as a retrofit) and can be expensive to maintain (how do you fix a leak in buried radiator? You don't, you drill another hole and put in new pipe), but since the earth stays about 55 degrees even in the dead of winter (and gets warmer the deeper you dig) there aren't the icing problems with such a system as with an air-air heat pump system.
Whew, sorry for the wordiness and potential redundancy redundancy but it's been a while. This is also all a reminder that it's getting to be time to go back under the house in the crawl and install the under-floor insulation that's been waiting a few years now...