The link you provided is a heater designed for motor homes. Looking at their product sheet, it seems that the power used is for the control circuitry (they have "automatic altitude adjustment" as well as a bunch of different control panel options for temperature), and for a fan - in the diagram they show hot air outlets connected through a duct system.
You didn't mention if this is for a permanent installation or not? Possibly a portable camp heater would work?
Geothermal Heat Pump
Efficiency
If upfront cost is of no concern, a Geothermal heat pump is the most efficient heating/cooling system. According to the Department of Energy, geothermal heat pumps can be between 300 - 600% efficient.
Financing
There may be government programs available to help fiance the installation of the system, as well as state programs.
Payback
Some sources estimate a payback period as short as 3 years, though actual results may vary. If you switch your main house over as well, use the system for hot water, and take advantage of government programs. The payback period could actually be quite short.
Electric Baseboard Heaters
Efficiency
Since electric heat is 100% efficient, every ounce of electricity used it converted to heat.
Financing
If there is adequate space and power available in the service panel, an electric baseboard heating system is fairly inexpensive to install.
Payback
Depending on the cost of electricity in your area, electric heat may or may not save you money over other heating options.
Natural Gas Room Heater
Efficiency
Since it's a smaller area, a standalone natural gas forced air system may not make sense. However, a smaller natural gas room heater (or a few) might make sense. Natural gas room heaters can be between 65 - 100% efficient (depending on the heater), so they can be quite efficient.
Financing
As with electric room heaters, natural gas room heaters will be fairly cheap to install.
Payback
Again, depending on the cost of fuel. A natural gas room heater may or may not save you money over other heating options.
More Info:
The U.S. Energy Information Administration has a Heating Fuel Comparison Calculator (Xls) that might be useful.
Best Answer
If you run out of fuel, your burner will shut down, as there is a safety system that disables it if there is no flame when the burner is running. You are likely to clog your filter, so plan on replacing it if you do run out (it may be good to proactively replace it if you run very low, even if you don't run completely out). After replacing the filter, you'll need to press the reset button, and there may be a procedure to bleed air out of the line (I've seen the service tech do this on ours after the system shut down due to extreme cold clogging the filter with gelled fuel).
In other words, you'll need a service call after you run out, unless you are comfortable maintaining your system yourself.
My understanding is that diesel fuel has additives that are not needed for an oil burner, but will do no harm to the system. You are paying road taxes that will increase the cost, but in an emergency, that's probably not an issue (I keep a couple six gallon plastic Jerry cans exactly for this contingency because we have a driveway that is sometimes not passable with an oil truck in the winter).
Edit: a web search on "difference between fuel oil and diesel" seems to suggest that they are mostly interchangeable, with some minor exceptions -- a cetane additive may (or may not) be added to road diesel in some circumstances, but should not affect your oil burner negatively. Kerosene may be added to fuel oil (not sure why), but often isn't, so diesel would again be an OK substitute.
Here's one of the sites I read:
What is the difference between home heating oil / fuel oil and diesel?