As for the pellet stove, they have been around for some time now. There are pros and cons. One bad thing about them is they have a lot of parts in them. Like the newer high efficiency furnaces there are more things to go wrong. If you’re looking for total self sufficiency the pellet stoves need electricity unlike wood or coal stoves. If you’re worried about power failure you can get a couple batteries and an inverter to run the thing for a few days on a charge.

I’ve had wood stoves and coal stoves. Unless you have a stand of hardwoods to cut from or another free source of wood, I find it to be an incredible pain in the ass. Way too much storage volume and work to move it about. I like coal a lot. You can keep the dust under control and you can get a winters supply dumped right into your basement if you have the room. 3 ton of coal doesn’t take a lot of room.

So why pellet? Like you said the fuel is made from sawdust and shavings. It's made from wood byproducts that wood normally go to landfills. Some can burn corn, and grass pellets may become possible. The stoves are direct vented through an outside wall. No need to have a chimney which is very expensive if you don’t have on for wood or coal. The stove has a small fan so it circulates air and the clearance around the stove is less for fire hazard. The pellets are 210.00 for a ton and they comes in 40 lb bags. Just dump the bag into the hopper and there is no dust either. Since the pellets are around 5% moisture and the stove is efficient the ash is almost none. The ash from a 40 lb bag is about 1/2 coffee cup. seriously.
The bags pile up anyplace. It's like stacking up 50 bags of dog food in your basement or garage.

I got a Harmon and it has a thermostat and auto light system on it. Turns on and lights the fire, controls how much burn and shuts off or turns way down when it gets warm. Most important there is a place in your house that is warm and toasty, and your not dreaming of dollar signs as the furnace cranks out more heat.