If you are building new, you do NOT want an insert! An insert would be a major waste of money and effort for you, as an insert requires that it be installed INSIDE a fireplace. Inserts are designed for people who want to improve a PRE-EXISTING fireplace. To put an insert into new construction would require you to pay for, and install a new fireplace and chimney, then pay for and install an insert, and probably a liner.
While I would second the earlier posters in extolling the virtues of a Masonry Heater, (and the claim is that they are slightly more than a conventional masonry fireplace, so they are expensive but not astronomical) if budget doesn't allow that, what you want is either a free standing stove, or an EPA listed Pre-fabricated FIREPLACE, not an insert.... Essentially this is a pre-fab fireplace that is built with the same sort of technology and design as a modern stove or insert, but designed to be installed like any other Zero-Clearance type fire place. They are slightly more expensive than a non-EPA listed "builder box" type unit, but far less than a ZC box plus an insert. Some of them have the added advantage of being equipped with ducts that can be used to distribute heated air to other parts of your house.
However if budget is a real constraint, the other option is to design and put in a well located hearth for a free-standing stove. A stove can be your lowest cost option, and it is the easiest to build a hearth for. It also gives the most options for future changes and upgrades if the setup is well designed since all that would be needed is to swap out the stoves and maybe a few lengths of connector pipe.
Gooserider