I use a natural gas wall mounted heater that I purchased 12 years ago at Tractor Supply Co. It is the non-vented type, although I mounted it below a window which I crack open when operating the heater. The heater comes with a fan which has two speeds. It puts out plenty of heat and after a while using it I have to turn the temp control down as it gets pretty hot in my train room.
My train room is also in a walk-out basement. As I said we have natural gas and it has been cheap to operate.