Andy,
My impression was that with a more refined fuel such as gasoline the components released during combustion would be lighter, or perhaps less dense. Perhaps this was a false assumption, as that doesn't seem to make a lot of sense now that I think about it. Less refined heavy fuel oil (or in some cases recycled motor oil) would seem to have larger particulates, which would settle to the ground. However, the bi-products of the combustion of either fuel (gas or fuel oil) should be fairly similar, since they are both hydrocarbon fuels.
As far as coal goes, if a RR burns a high-sulfur grade coal then there are additional problems, such as acidic rainfall if I remember correctly.
Shane Schabow