Eric is correct. We have had a few CNG trucks around. The only one right now is an '05 silverado 2500. Dad picked it up with 150 on the clock for 8k....
We do not however have a fueling station. The nearest gas line to our house is over a mile, and it would cost us something like 20k to get it to the house.... So....
But in OK I can get 3600PSI for 1.35/gge. It takes 10mins tops to fill up. For us the he compressor just wouldn't make sense. I know a friend of my dads did the math and said the compressor only saved a few cents per gallon when he figured rebuild costs.
So, how much do you drive, because you are looking at a minimum 12k investment, and realistically more like 15-16. A 5gge tank won't get you very far, our truck has 20gge and it's good for 200miles...
CNGnow has tons of good info, including a map of stations. Check out how many are in OK....
If you want to buy an already converted trick let me know and I'll fill you in on where the sweet spots are, and what to watch out for.