Pellet stoves are becoming more and more common. In the rural area where I grew up, I know several people now that use them. The pellet quality I believe, at least what my aunt uses, is primary hardwood based. It cost a little less then four dollars for a bag of pellets (you buy it by the ton which is several bags) and the stove will heat her whole house, particularly by keeping the bedroom doors open for about a bag a day. The pellets are fed to the stove by a hopper at a steady rate and it produces an even heat, not an up and down heat like a wood stove. But you want to have a battery back up for the hopper in case the power goes out. Also the stoves, at least the better ones, are kind of expensive. I think my aunt paid like $1200 for hers. Maybe you can get them cheaper but hers looks real nice.
Wood stoves are nice, especially for supplemental heat. My parents have an oil heated forced hot water heating system but have a wood stove in the cellar. If the stove is kept stoked up, it will prevent the oil heater from firing up in all but the coldest days. They pay $160 for a cord of green, split wood (buy in summer and let cure so will be dry by winter) and usually go thru about four cord a year but this is in the land of 20-30 below F in the winter.
When I lived in an apartment, I had one of those electric oil filled radiator heaters. They work pretty well, providing a more even heat then the ones that blow hot air but take a long time, a few hours, to warm the room up from a cold start. Also when I moved it to the living room, it didn't work nearly as well. They are limited in what they can do and work best in a smaller closed room like a bedroom.