There are two kinds of electric space heaters, convection and radiant.
Convection heaters (attempt to) heat the entire room, radiant heaters
heat objects, including you. The oil filled radiator is a convection
heater, as are the heating coil plus fan heaters.
Comparing convection heaters to convection heaters, there is no
difference in efficiency, 100% of the electrical energy does turn into
heat. The Department of Energy prefers the oil filled units because
their thermal mass makes them a more constant heat source. Their
heating elements cycle less, for what it's worth.
But, radiant heaters should have more apparent efficiency in that they
require less energy to heat just you instead of the entire room plus
you in it.
http://www.energysavers.gov/your_home/space_heating_cooling/index.cfm/mytopic=12600