Comparatively, oxycodone is like heroin-lite.
As others have said, it's far less sedating. I'm suprised to see anyone mention they've ever nodded out on it. The only time I ever nodded out on oxycodone was after injecting 20mgs when I had virtually no tolerance.
When I want to be completely mashed, I prefer heroin. When I'm just looking for a euphoric experience, I prefer oxycodone.
Oxycodone is generally more euphoric and because it doesn't have the sedating effects and as long as you don't take too high of a dose actually has somewhat of a stimulant effect, you can be much more functional and get a lot more done on it.
Someone recommended injecting oxycodone and I'll give you two reasons why you shouldn't. The first is that while the initial rush is great, unless you have a really low tolerance, the overall high is not very strong and it only last an hour. The second is that injecting any sort of pharmaceutical pill puts you at risk for several health problems. There is absolutely no way to filter out all the insoluable molecules and they will accumulate in your system, particularly your eyes, lungs and liver and destroy them.
Personally, I believe the best way to use oxycodone is taking it orally. It takes about 60 minutes for it to come on all the way, but the high last a good 4-5 hours. If you snort it, the high takes 10-15 minutes to come on all the way, but only last 2-3 hours.
As for heroin, you get a lot more high when you inject it instead of snort it. And there is also a rush. Most people who try injecting heroin will never go back to snorting it again because you psychologically get addicted to the rush.
But I would absolutely discourage anyone from injecting heroin if they haven't already. Because you get psychologically addicted to the rush, it will increase your desire to use. You'll start getting more high. You'll use more. And it will increase your physical addiction and tolerance much faster than if you're just snorting it.
I was using heroin for a while a few years before I had gotten into it again and started injecting it. When I was simply snorting it, I never got physically addicted (don't get me wrong, you can) and it wasn't hard to quit. After I started injecting it, I became so much more psychologically addicted and was just so into it I lost concern about getting physically addicted and quickly became physically addicted. Everyone I know that switched from snorting to injecting has also said that injecting made them far more psychologically addicted and much harder to quit. You really do get so hooked on that rush that if you're going through the worse of withdrawals you'll probably inject water just to inject something.