If I understand correctly, is is illegal to burn waste motor oil in a single family residence but it is legal in a multi-family, apartment or commercial building. Go figure.

There are commercially available waste motor oil furnaces, Kagi and Econoheat are names that come to mind.

It is possible to heavily modify a conventional #2 home heating oil burner to run waste oil, but it is a hobby in itself. Key ingredients include changing from a pressure nozzle to an air-atomizing siphon nozzle, preheating the oil and using a "turbine" style retention head to keep the flame short.

You can also burn waste vegetable oil in the same setup.

Lots of info can be found here:
http://groups.yahoo.com/group/altfuelfurnace
but you will need to do a lot of reading, no one there seems to be willing to lay it out in a FAQ.

Be aware that if you house burns down and the insurance company finds out that you tampered with the furnace, even if it is not the cause, you may have problems.