Crude oil (called "petroleum") is easier to get out of the ground than coal, as it can flow along pipes. This also makes it cheaper to transport.
I ought to point out that some scientists are claiming that oil is not a 'fossil' fuel - that it is not the remains of prehistoric organisms after all. They claim it was made by some other, non-biological process. Currently this is not accepted by the majority of scientists.
Natural gas provides around 20% of the world's consumption of energy, and as well as being burnt in power stations, is used by many people to heat their homes.
It is easy to transport along pipes, and gas power stations produce comparatively little pollution.
Video clip: What is crude oil?
Other fossil fuels are being investigated, such as bituminous sands and oil shale. The difficulty is that they need expensive processing before we can use them; however Canada has large reserves of 'tar sands' , which makes it economic for them to produce a great deal of energy this way.
As far as we know, there is still a lot of oil in the ground. But although oil wells are easy to tap when they're almost full, it's much more difficult to get the oil up later on when there's less oil down there. That's one reason why we're increasingly looking at these other fossil fuels.