But having owned a few pellet guns in the distant past, it got my attention. Googling it, I came across this:
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Because these appliances burn wood so efficiently, some do not even need chimneys. Rather, they exhaust fumes through a small hole in the wall to the outdoors. Pellet-burning appliances need to be refueled less frequently than most other wood-burning appliances. Refueling varies from once a day to twice a week, depending on the model and your heating needs. To refuel, you simply pour the pellets into a hopper, which holds between 35 and 130 pounds of pellets and they are transferred to the fire chamber to be burned as needed. A corkscrew-shaped device called an auger transfer pellets to the fire chamber. There are two types of auger feed systems, bottom-fed and top-fed loading systems. Unlike other wood-burning appliances, pellet stoves and inserts rely on mechanical air-supply systems (usually a forced-draft or induced-draft system) to vent air from the home. the forced-draft system uses a fan to force air up the vent into the combustion chamber. The induced-draft system, sometimes called the negative pressure system, uses a fan to draw air from the combustion area through the exhaust system.
Burning wood with a pellet stove or insert is usually convenient, neat and safe. These devices usually don't require refueling more than once a day and the fuel is compressed and bagged for clean and easy storage and handling. Pellet stoves produce virtually no smoke, and produce less odor than other wood-burning appliances. Moreover, the exteriors of these appliances are not used for radiating heat and stay relatively cool, preventing you from burning yourself if you accidentally touch the stove.
Pellet-burning appliances, however, have disadvantages. Because using pellets is a relatively new way to burn wood, you may have difficulty finding a dealer who sells the fuel. Before purchasing a pellet-burning appliance, make sure that a reliable supplier sells pellets in your area. Many of the pellet fuel and pellet stove manufacturers are located in the Northwest and the Rocky Mountain region. There are however, retailers throughout the nation. To find a pellet fuel distributor in your area, ask a local wood stove dealer or check for a listing in your local telephone directory under Fuel or Pellet Fuel. Pellet-burning appliances also use several internal fans, which require about 100 KWH of electricity each month. The need for electricity will add to your total energy bill and will also prevent you from using your stove or insert if the power goes out (unless your appliance has a battery pack). Moreover, there are restrictions on where you can place a pellet-burning appliance to allow proper combustion and air exchange. For example, you may not install a pellet stove in a new manufactured (mobile) home according to regulations of the U.S. Department of Housing and Urban Development.
Most pellet-burning appliances cost between $1,200 and $2,100. If you are comparing the price of a pellet stove or insert with another wood-burning appliance , you should compare the total installed cost of both systems. If the pellet-burning appliance doesn't need a chimney, the cost of the entire system may be less than that of another stove. Wood pellets are usually available in 40 pound bags at about $3.00 each.
http://hearth.com/what/pelletstoves.html