Actually aren't you talking about when you make oil into gasoline, Analogzero?
If you burn oil correctly you only get CO2 and water. It's relatively cheap to get. It can be used to create plastics and is fantastic for engines.
If you use coal instead you get all kinds of poisonous gases, is mined by small children in dangerous mines and you couldn't drive a car on coal. So oil is definitely better than coal.
There are lots of things better than oil, but they are all very costly in comparison. And if you want to use f.x wind power for all the cars, it would be necessary to change all the cars to electric cars. This might also cost a bit :D