Electric is the most efficient. Their is efficiency lost upstream at the power plant though. The electric company factors that into the cost of your power. Gas is the second most efficient and probably the cheapest to run. Oil is the least efficient and probably about the same or just a little cheaper then electric to run.
For compactness I would say electric baseboard is the smallest as it requires no boiler or air handler.
Hot water and steam really have the same efficiency. Steam is more expensive to install but it provides a nicer heat if that makes sense.