Space heaters provide an energy efficient way to increase the heat in one room in the house. When you want a room a higher temperature, such as your bedroom, turning up the furnace and heating the entire house is not practical or cost effective. Instead, you should use an oil-filled or infrared space heater to get that small room to the temperature you find comfortable.
Both oil-filled space heaters and infrared heaters use less energy than most conventional heating methods that you might use to heat a room. However, oil heaters tend to come out on top in terms of energy consumption. Oil retains heat quite well, which means the heater would stay hot for a longer period of time and produce more heat output than an infrared heater would for the same amount of energy.
Heaters filled with oil heat the air immediately around the heater. That heat then travels towards the cool air in the room until the entire room is slowly heated. This takes some time. Infrared heaters instead send out heat that is absorbed by objects, rather than by the air. The air warms up eventually, but the objects in the room, including people, warm up first. This result is that typically you will feel warmer, quicker with this type of heat.
Infrared price heaters tend to be slightly more affordable than oil-filled radiators. At the low end of the scale, as of 2011, an infrared quartz-based space heater should start at around $30. Oil-filled heaters are slightly more expensive. They start at around $50, but the high-end ones will range to as much as $150, more than $50 more than the equivalent high-end infrared heater.
The devices are both quite safe by today's standards. While you still shouldn't fall asleep with the heaters on and should not leave them unattended, both oil-filled and infrared heaters should come equipped with safety features such as temperature control and automatic shut-off in the case of climbing temperatures.