Nothing much to add to Sqads response really. Poor absorption from the gut due in part to its size, and also its negative charge, mean that the best route of absorption is either via IV or subcut administration.
There is a recognition that LMWH is in many ways a superior anticoagulant to warfarin, the main problem with it being the need to administer LMWH IV or subcut. There has been some work done on adapting heparin by attaching it to a carrier molecule that would allow from absorption from the gut. Should they perfect this method, it would prove to be an extremely useful oral anticoagulant, but they still have some way to go, i think.
For general reference;
http://en.wikipedia.org/wiki/Heparin
Development of an oral heparin anticoagulant ;
http://www.thrombosisjournal.com/content/4/1/6