If you have access to a good supply of used motor oil, a waste oil burner makes sense. We have a Clean Burn at the shop, it was pricey to buy but now that it's setup all we pay for is the electricity to run the pumps and fan, plus minor maintenance items like a filter every year. Other than using compressed air and heat to atomize the heavy oil, it is essentially the same as a standard heating oil burner.
For the DIYer, the old MEN waste oil burner has been updated considerably since it was introduced back in the day:
Mother Earth: Waste Oil Heater
And if all ya have is an old woodstove, you can modify it to use dripped in oil, just set it up to drip used motor oil on the burning log. Log lasts longer and acts as a wick for the oil. Just make sure it's an airtight stove!