It will still be coming from oil, just converted to a different form. Here in NYC Con Ed runs a mix of No. 6 oil and Natural Gas to produce our electricity, we don't burn any coal.
But the advantage of an electric or hybrid vehicle is when you are at a complete stop, which occurs very frequently in commutes like mine, you are only running your heat/ventilation/AC and accessories (like headlamps and radio).
It's kind of like zoned HVAC for houses. How many houses do you see where the entire house is being heated in the winter even though the family is only using 3-5 rooms at a given time? That's what I am talking about. Sitting at idle in a gasoline powered car makes no sense when you are getting 0MPG.