I used a pellet stove last winter for the first time. My unit is a stand-alone Whitfield Advantage Plus. We love it and will continue using it in the future. Here are some "first season lessons" we learned that may help if you choose a pellet stove.
1. Even though the technology and many local codes allow for running the exhaust directly out of the wall and terminating, spend the extra $ on pipe and run it up above your eaves, beats scrubbing the side of the house.
2. I agree with Jay J that you will need to add moisture, and how you do this will depend partly on where you draw your fresh air from: inside or outside. Air drawn from inside will be more efficient to heat, but if you crack a window you'll get some very annoying cold drafts.
3. Oak pellets burn cleaner than pellets from mixed or soft wood. A lot less residue to clean in the stove. Cleaning regularly is very important. Buildup of any kind will compromise your heating efficiency.
We got a great price on our stove(1/3 off- $1600), it was "last year's" model, summer, and the new models were coming out. It will still be a lot more that 2 years before we re-coup our investment. Probably more like 6 years, depending on future electricity cost. 3 tons of pellets will take us through the winter @ $140 -$160 a ton. We currently have a Trane heat pump and went with a pellet stove primarily for the "atmosphere" of a fire, and toasty warm air you just don't get from a heat pump.