Really four factors, cost - capital and running, efficiency and availability of fuel.

Diesel stoves are expensive to buy and install, cheap to run, most who owned them wouldn't repeat the experience and the fuel is universally available. The drip-feed dual fuel heaters are rather more effective than the cookers.

Paraffin stoves are mid-priced, fuel is usually quite cheap (unless you are forced to buy deodorised when it becomes the most expensive) fuel availability is highly variable (there are some parts of Spain where it's unobtainable) and they cook well even if lighting them can be a chore.

I have, I will confess, a phobia about alcohol stoves having once owned a boat with an Origo. They do have the merit of having a relatively low capital cost, but for anything else are at the nadir of desirability.

LPG stoves are cheap to buy, work well but the obtaining of supplies is made needlessly tedious by the policies of the local bottlers. Camping gaz, whilst being pretty well universally available is an expensive method of buying butane. Of the two, propane gasifies at lower temperatures and operates at higher pressure. Otherwise they are interchangeable providing you use the correct regulator.

For my part I use LPG for cooking, and electric fan heater for keeping warm (most spend cold weather in marinas) - as i change from country to country I convert the regulator to the local LPG supplier keeping 1 Gaz bottle for emergency backup.

I had an Eberspacher warm air heater - troublesome and expensive to service so not again. The Eberspacher hot water heater is definitely vastly superior (providing it's installed well) but in a different price bracket.
I'd avoid LPG space heating, very expensive fuel when used in that way.
If moving out of civilised (electrified) areas I'd fit an all-fuel stove - providing you have a mounting point and can fit the flue effectively they're magic. The paraffin/diesel pot-heaters are a viable alternative, providing you can prevent them getting carboned up. Tilley/Aladdin pressure lanterns are OK for space-heating as well as light, but lack of regular use makes them cranky and the scent of paraffin you always get with them is undesirable. I took mine back to the UK for use during power-cuts.

I prefer, however, to sail in areas where winter heating is unneccessary.