I heat primarily with wood (central wood furnace), but have one added-on room that doesn't have ductwork to it that we heat with a propane fireplace. We spent about $300 on propane and, coincidentally, $300 on firewood this winter - and it was a cold one.
I suspect that normal variations in energy consumption and cost between propane, natural gas, and electric probably even out over time, so it's kind of a six-of-one, half-a-dozen-of-the-other thing. You use whatever's most convenient for your location, and long-term the "utility" sources are pretty much a wash. Wood's as economical as the amount of effort you're willing to put into it.
If I was doing it all over again, starting from scratch, I'd start out by designing the house around an integral, wood-fired masonry heater with a propane backup. Read up on the masonry heaters. It's like using a rocket stove to burn a relatively tiny amount of wood to heat a giant thermal mass, which re-radiates heat to keep the house warm. One of these things in a well-insulated house would be a mighty cheap energy bill.