We use a Dimplex 3kw convector heater with turbo fan in our conservatory, which was installed 11 years ago.
Whilst it came free standing; it has the option for the feet to be removed and wall mounted, which is what I have done. I have also connected it to a wireless programmable room thermostat (one that is suitably rated for electric heating. Not all are) this gives complete time / temperature control for just the conservatory, that is totally independent from the house heating. [LABC building inspector insisted on this] It also allows us to heat just the conservatory on a chilly summer evening, when the central heating isn't on.
The heater can be set to give 1, 2, or 3 kw of heat, and being a convector heater, if we go in when the conservatory hasn't been heated for a few days, and put it on the maximum setting it warms up the conservatory in minutes. [radiators have a slower warm up time] about 20 minutes will probably get it from 8 degrees up to 21. Our conservatory is quite small though, just big enough for 4 armchairs and a small table.
The advantage of the Turbo Fan is that it makes you feel instantly warm as it circulates warm air immediately it is switched on.
Once the conservatory has warmed up, we usually switch it down to the lowest convection only setting without the fan, and the room thermostat switches it on and off to maintain a comfortable temperature.
Whilst our conservatory is used daily in the summer, we only use it occasionally during the winter, if we were to use the conservatory more frequently in the winter, I would definitely go for a heat pump though, because the running costs are significantly less. But for us at the moment, the convector is more practical.
Regarding the running cost of standard heaters, that will depend upon the size of the heater, and how long it is left on for. All electric heaters cost the same to run based on their kW size. So a 1 kW heater will cost the same to run regardless of who makes it. A 2 kW heater will cost twice as much to run as a 1 kW but will emit twice the heat. Remember though that there is usually thermostatic control, so even if you have a 2 kW heater and because of the thermostat, is only actually on for half the time of a 1 kW, the running cost would be the same.
The exception is a heat pump, which because of the way that it works can produce much more heat than the power it consumes in doing so.