Our pellet stove is saving us a ton of money here in MA. It paid for itself in 2 years. You have to get a good one, like Harmony or Quadra-fire.
Negatives are minimal. Carrying 40 lb. bags, 1/2 hour/week maintenance, Exhaust pipe (chimney) cleaning 2-3 times/season, new $70 glow plug/season.
To avoid chimney cleaning, we side-vented, then you can clean the pipe with a long dryer brush in a couple of minutes.
Pros: Cheap heat. And we leave the thermostat at 75!
What is your electric cost in terms of fans and combusting said pellets?