Heating System Replacement
Roughly, your (logical, barring a desire to make a huge change) options are:

Gas-fired steam boiler - least change to the system, given usual gas and oil prices should be cheaper to run.

If you have "two-pipe" rather than "one-pipe" steam, conversion to a hot water boiler using the same radiators (possibly with some additions) and most of the piping might be possible/economical. Otherwise retrofitting hot water baseboards or radiators is far easier than retrofitting ductwork.

Depending where you are in the state and your relative cost of electricity and gas, cold-climate air-air split-system heat pumps can be economical. The "cold climate" versions stand the previous assumptions about air-air heat pumps (when the weather gets cold) on end. 

For a lot more money up front, geothermal heat pumps work nicely and don't care about outside temperature. You'd probably want a water-to-water version to make hot water to pump around a hydronic delivery system (which as above, might or might not include your old steam radiators repurposed as hot water radiators.)

Finally - insulate, seal, insulate, seal, insulate, seal.