Infrared heaters are very cheap to run but are a zone type heater. An energy-efficient HVAC unit is the least expensive to run and provides warmth to the temperature you choose. What is the most energy-efficient electric baseboard heater?
Keep in mind that when you change from steam heat or hot water heat to forced warm air heat, your costs are much greater than just the heater itself as you have to install a heat delivery system : air ducts and registers. That can be convenient in some building designs and quite costly...