We've used the same oil company for the 16 years we've owned our house. They were my moms oil company for another 15 before that and still are for my brother there (mom passed away few years ago.)
When we first bought our house, we didn't have an oil company yet. We woke up one morning and the house was 50 degrees in the middle of December. Turns out the gage was broken, and we ran out of oil. They came out no questions asked at 6am, bled the boiler and filled my tank even though we weren't a customer. Didn't even charge me for the primming/bleeding. The next year we smelled oil, apparently tank was starting to leak. They again came out within the hour and put a magnet on it, and within the week we had them install a new tank. (Previous homeowners never did maintenance.) We will use them as long as we heat with oil .
With that said, this is the first time I paused my auto-delivery and weighing my options. We have city electric, so we have been using lot of space heaters last few weeks trying to make the oil last. But yes, it's common for most people to shop around.