A direct exchange geothermal heating/cooling system has a self-adjusting expansion valve and a bypass flow path to improve efficiency when the system operates in a heating mode. The expansion valve may operate based solely on pressure from the vapor refrigerant transport line. The system may alternatively include an accumulator, a compressor, and an oil separator, wherein an oil return line returns oil from the oil separator to the accumulator. Additionally, a direct exchange geothermal heating/cooling system may include a hot-gas bypass valve for diverting heated vapor refrigerant to the liquid refrigerant line. Finally, a direct exchange geothermal heating/cooling system having a sub-surface heat exchanger extending to a depth of at least 300 feet may use a refrigerant particularly suited for such an application.