Well I wiil be the stick in the mud(except for maybe tj) big old house,not sealed well,pellet stove is poor choice.Lump coal stove(for cheap).Eastern PA-natural gas?got about a good 7 cheap years left.2000 sq ft not that big,but you did not provide enough info,so if you go pellet go big.Something I have(and still) use on people out here is-go and buy 4 milkhouse electric heaters(40.000 watts is very close to 40,000 btu's),put all them in the same room,next to one another,live through a winter and see if you will be happy with this.most pellet stoves are a space heater/only
I would love a coal stove but we do not have a fireplace or chimney. Installing a full external class a chimney on the rental house is going to be not worth it(30-40 ft up would have to go) . I have heard there are a few coal stokers that can be direct vented and i'm going to the dealer to talk about them after work today, But the power vent unit I hear is pricey and one guy told me its still not designed for coal.
Natural gas would be great, but no lines run past me. We do have the oil forced hot water radiators, so we are not going to be cold. just trying to defer the cost while being a bit more comfort. Its hard to run the space heater test right now since its not cold... But I have a few 1500(~5000BTU) watt oil radiators that seem to handle a room each easily.
I know coal stoves are powerhouse furnaces, And I even have a Vermont castings cast iron wood / coal stove. I just can't figure out how to use it.