We finished building our retirement house 4 years ago and went with propane for the fireplace, water heater, stove, and dryer. I have absolutely no regrets with any of them. Like others have already stated, there is no crystal ball to know what the costs of different types of energy will be in 5, 10, or 20 years. The best thing that you can do, regardless of your choice of utility, is make your house as energy efficient as possible and reduce your consumption needs.
If your budget allows for it, go with either ICF or SIP construction. We went with ICF, and by far, this is the most important thing that we did when building our new home. In addition to being really energy efficient, the walls can withstand 200+ MPH winds.
We went with a direct vent fireplace insert that uses propane. Direct vent uses outside air for combustion, has air circulating fans built in, and does a great job of heating the house.
I prefer a water heater with a tank, so we went with a condensing unit from Westinghouse. It is 97% efficient, and is vented with PVC instead of standard gas vent pipe. It's got a 50 gallon tank, and we have never run out of hot water, even when both showers are in use at the same time as the dishwasher or washing machine. I highly recommend this.
Good luck with the house.