We have natural gas at home and I certainly agree that it's much nicer than oil, even if just to get rid of a tank and saving oil tank maintenance. Here in Germany I have more issues with natural gas than I would in the US, because we get a lot our gas from Russia, Iran, and similar countries. Russia has stopped gas delivery in the past and I don't like this dependency on what I view as an unreliable supplier.
In the US you have your own enormous shale gas supply, so that argument does not hold water for you.
Gas is a just-in-time resource like electrical power. Gas pipes can burst or need repair, so there's the tiny chance that in case of a catastrophe your heating supply is cut off in winter. I don't know how gas delivery is structured in the US, but you might be limited to a single supplier for gas (the same that owns the new pipes in your street). With oil you can switch companies and get one that offers the best price, with gas you might not have this option.
The heating value of gas (KW/h) differs per volume, it's a natural product, after all. Our gas is metered by volume and then charged at an average heating value that is periodically adjusted. If you are charged by volume, you need to convert that to heating value if you compare prices.