Thermal evaporation techniques have fractionation effect which changes the oxygen content as found in oxide superconductors. The films produced by these methods looses superconductivity due to different oxygen content as compared to bulk. Same may happen in case of other oxides also. Pulsed laser deposition technique has been quite useful in oxide superconductors and the same may be good for other oxide also.
Well, it depends on what you want to deposit but the easiest and most controlled method of oxide thin films deposition is atomic layer deposition (ALD). Because you have a very precise control over composition as well as thickness due to deposition of one single layer during each cycle. Other techniques as Pulsed laser, thermal evaporation, or even chemical based methods can be used but have poor control over either the film composition or the thickness.
ALD is based on sequential surface chemical reactions with gaseous molecules with the atoms needed for the film. There is no melting involved in ALD, the precursor molecules are sometimes sublimed though. This is a very good recent overview on ALD:
The simple method of depositing good quality, and better stoichiometric thin films is reactive sputtering. It is relatively cheaper than ALD and PLD.
What kind of oxides are you depositing?? It works well for metal oxides, ceramic oxides etc. Controlling the oxygen partial pressure you can achieve better composition.
I agree with the above answers. ALD and PLD are offering better control on the oxide stoichiometry and also less point defects compared with other methods such as thermal evaporation and solution processing.