The Pellet Fuels Institute has a calculator to compare the costs of wood pellets versus other forms of heat. In general wood pellets are less expensive than oil, electric or propane. Natural gas is of comparable cost to wood pellets. Burning hardwood or coal are both cheaper than wood pellets.
If you live in an area that gets cold in the winter and wood pellet stoves are available in the market then you might want to look into one. Natural gas heat might be the cheapest option overall, but if gas isn't available then wood pellets might work well for you.
If you think about wood pellet stoves at all then I'd look first to see if wood pellet stoves and the pellets themselves are readily available in your area. If you can't buy the wood pellets locally then using a wood pellet stove becomes pretty impractical.
More on wood pellet stoves:
- Article from This Old House
- Wikipedia article on Wood pellets
- Another fuel cost comparison calculator
- Wood pellet prices in the Northeast