Water is the most efficient liquid for transferring heat from one place to another such as in a solar hot water system. Water has a specific heat of 1 btu/lb °F
Specific heat or thermal capacity can be thought of as the ability of a substance to absorb or maintain heat.
A solar hot water system is most efficient when the heat transfer medium is 100% water. However, in most of the country this isn't possible because of the possibility of freezing. Typically we add propylene glycol to water so that it won't freeze. Propylene glycol has a specific heat of .60 btu/lb °F.
So when we add glycol to the system's water we lower the efficiency of the system. The specific heat of a 50/50 mixture of glycol and water is .85 btu/lb at 80°F. So it holds 15% less heat than pure water. So we would need 15% more storage capacity to store the same amount of heat than if we were using 100% water as our heat transfer medium.
Oils have specific heat ratios in the neighborhood of .40 - .50 btu/lb °F. Oil actually helps engines run cooler. They are not very efficient at retaining heat. They are also very viscous which makes them harder to pump, which uses more energy. They would not make a good fit for solar heating.
The only other liquid that has a higher specific heat than water is ammonia. Ammonia however, wouldn't make a good solar heat transfer fluid since it boils at -27°F.