Last year I had a similar dilemna . . . heck, I think most of us have been down the same road you're going . . . with a few differences.
For me I considered lots of heating alternatives when the price of heating oil was climbing through the stratosphere. I wasn't looking for ambiance though . . . I was looking for cheaper heat. I looked at outwood wood boilers, indoor wood boilers (both conventional add-on boilers and high efficiency boilers), low temp heat pumps, pellet stoves and wood stoves.
In the end I had decided on either going with a pellet stove or wood stove . . . and then a few things happened which helped me make up my mind.
Stove availability: At the time there was a real run on pellet stoves and every time I figured out which make/model I might wish to buy I would go to the local stove shop for a price and they would quote me a price . . . and then tell me I couldn't get one until December . . . or January . . . way past the time when I really wanted one. Getting a woodstove however was much easier. For me: Winner = Woodstove.
Fuel availability: I began to think about this. While pellets are a little more convenient, you can place an order and some places will drop the pellets off at your place and you can simply bring them into your basement or garage, stack them up . . . no fuss and no mess. However, as mentioned by another member, I realized that I have access to over 300 acres of family land . . . but I don't own a wood pellet mill . . . so for me it came down to the fact that I could pay a hefty premium for my fuel and be subject to market prices just like oil, or I could pay far less and "harvest" my own fuel. A negative for wood is that you really need to be thinking a year ahead so you can get seasoned wood vs. pellets which you can pretty much order up and use the same day you get them delivered. For me: Winner = Woodstove.
Power outages: Another reason for wanting an alternative heat source is that I frequently lose power in the winter and relying only on an electric-powered oil boiler isn't always the best thing to do. While some pellet stoves can run off a battery, I wanted something that was power-free. For me: Winner = Woodstove.
Maintenance: Pellet stoves do offer the "set it and forget it" feature. You load the hopper, set the temp and the stove will run. Woodstoves take a little more finesse and time. However, while pellet stoves are convenient in this way, they do have more moving parts and as a rule require more maintenance. A co-worker spends a half hour each week maintaining his pellet stove. Me . . . it takes me 10 minutes a week to clean the glass and ashes . . . and another 10 minutes each month to sweep the chimney. For me: Winner = Woodstove.
Danger: Make no mistake, both pellet stoves and woodstoves can pose burn hazards and fire danger. I would suspect however that of the two, wood stoves would be more likely to present the bigger burn and fire danger . . . but I would also wager that the fire danger would be due to improper installs, improper use of the stove (i.e. not using the air control correctly, using green wood, etc.) and not cleaning the chimney on a regular basis (and of course the other big issue -- improperly disposing of the wood ash.) For me: Winner = Pelletstove . . . although I also believe a responsible person can burn wood as safely as pellets or any other fuel . . . the key being they need to realize it's not as easy or as simple as running the oil furnace or gas boiler.
The Ambiance: I've inspected quite a few pellet stoves and seen quite a few gas stoves in operation and I have to tell you . . . hands down . . . a wood burning insert or woodstove beats the look, smell and sound of pelletstoves and gas stoves. A woodstove with the popping and crackling wood, the smell of the wood smoke outside on a crisp fall or winter day, the burning flames . . . yeah, nothing like it. For me: Winner = Hands down, Woodstove.
The Mess: Yeah, woodstoves are more messy. I think a properly working and installed pelletstove and woodstove will be no more or less messy . . . but a woodstove will have the resulting woodchips, sawdust, wood ash, etc. that comes from bringing the wood inside to load the stove . . . and disposing of the wood ash afterwards. For me: Winner = Pelletstove.
Storage: Wood needs quite a bit of room for storage. I mean, a ton of pellets isn't exactly small, but you can store the pellets inside a home's basement or garage easily with little mess. For me: Winner = Woodstove . . . but this is simply due to the fact that I don't have a basement and my garage is used for the cars. I did end up stacking wood out back last winter and now have a woodshed.
Ease of Use: If someone is looking for something comparable to an oil or gas furnace or boiler in terms of just setting the temp and walking away, I think pelletstoves would be the answer. Running a woodstove doesn't require that you be a rocket scientist, but it does take more time to get the fire established and you can't simply set a thermostat and walk away and expect to get good, meaningful (and safe) heat from that heating appliance. For me: Winner = pelletstove.
I think in the end, everyone comes to a different conclusion as to what works for them or not. As one member has said, burning with wood does become more of a way of life rather than just a way of heating your house cheaply.
If someone was looking for just ambiance: I would recommend a wood burning insert or stove . . . followed by the gas fireplace.
If someone was looking for heat and wanted the convenience of "load and go": I would recommend a pelletstove.
If someone has their own wood lot or access to free or cheap wood: I would recommend a woodstove.