I've only seen a pellet stove in use once. It did a good job of putting out a good deal of heat, but as I recall, it's quite a bit more pricey than just heating with wood. Less messy, though, and most likely more efficient.
And with gas prices going up, maybe they make a lot of sense price-wise, I dunno!
Like our wood stove back home, it wasn't attached to any other system, which meant the warmest room was the one with the stove. But I almost rather like that system...means people congregate in the livingroom or kitchen, which is cozy and homey...and I like it to be a little on the chilly side in my bedroom.
Big'ol and I have both used wood stoves at various points in the past. Big'ol heated a house with it when he lived in PA. Me when I worked for the scouts in NM - we did all our cooking on a wood stove. I was kind of spoiled because we had an inexhaustible supply of labor for chopping. (Scouts will do just about anything for cookies) We're looking at pellet stoves 'cuz Big'ol has had enough chopping wood for a lifetime.