Thanks for the walk down memory lane, Congressman Billybob.
Partial answer to your question, as I've not dealt with a pellet stove. As was mentioned, availability of fuel is a major factor.
In terms of comfort, the sight and smell of a wood fire warm the heart as well as the hands. Does anyone in your household have breathing problems? Wood heat decreases humidity, sometimes to the point of discomfort. Keep moisturizers handy. You can fill a sturdy teapot to heat atop the stove, just don't let it boil empty. My Mom complains that when they heated with wood, it created more dust within that room.
Gas (propane): you can get used to the smell, but it still doen't smell great. As long as you have a reliable company to keep fuel in the tank, you're OK.
I can't believe how much I enjoyed hand-splitting wood as a kid. Call me lazy; these days I like gas.
Thanks, Titan. The gas stove wouldn't be propane, but actually hooked up to the gas line that gives fuel to my house furnace.