We have 3 waste oil heaters in the shop, they are the commercial type that are similar to a fuel oil fired furnace. The difference is in the "gun" assembly, the used oil is preheated and injected along with compressed air to atomize it to the point it will ignite easily. Other than a huge pile of unburned crap that accumulates in the burner chamber, they are pretty much trouble free if you keep the filters cleaned every couple weeks or so. Diesel and other fuels just thin out the oil, they burn fine. Antifreeze and water are the big problems, luckily we have several 200 gallon storage tanks, we can let the new oil "settle" in a single tank for a few weeks before pumping it into the long term stoarage tanks. This gives the oil time to settle out the water and AF, which are then easily drained offf the bottom. Once purchased for about $3K each (we bought 2 used for less than $1K) you only have the cost of electricity to run the pumps and blower for heating costs. Once a year you put a new spin on oil filter ($10) and maybe every 5 years or so a control unit or transformer will go, normal maintenance items on any fuel oil fired furnace. We used to heat the shop with natural gas, averaged $400 or so a month in winter, now it's probably $30 for electricity, if that.
Home units exist, basically an external boiler housed in a small shed, with insulated pipes going to essentially a radiator and blower in the house. You need a ready supply of used oil though, they do use a bit.