Cheapest - window/vented box
Buying or making a box for a typical style coleman heater that's vented. I'd still use a co2/o2 depletion sensor.
http://www.atomicheater.com/
It's claimed to be the first vented, portable, catalytic, window-mounted vehicle heater, and it may well be. The Atomic Heater from NPMMC Inc. is in fact a window bracket and venting system to which you can attach a small, commonly available heater -- like the Coleman SportCat fuelled by a small propane cylinder typically costing about $3.00. One 16.4-oz. propane bottle lasts 14 hours and puts out 1500 BTU's.
Developed by a Colorado skier who says people like to sleep in their vehicles at ski areas rather than pay exorbitant hotel costs, the venting system avoids the danger in such gas heaters consuming oxygen and suffocating people in their sleep unless they crack a window -- and thus let the heat out.
The Atomic Heater solves the problem. The metal enclosure and tubes vent the heater and keep the heat in the vehicle, with the heater itself attached to a bracket that clips over the top of the window glass.
The bracket and venting system costs US $49.99 plus US$10.00 shipping and can only be bought via the company's website. The heater itself is extra, typically under C$100.

2nd cheapest:
http://www.ruralking.com/4-000-9-000-bt ... eater.html
Coolest/most expensive option:
Propex propane heater:
http://www.frankcondelli.com/propex.htm
Canadian mom&pop outfit selling Propex propane heaters that have been sucessfull vw westy's and rv's since 04.
less complex, less cost and more reliable at higher elevations than the diesel fired heaters.
