I here this every season that Natural gas is cheaper than pellets. It all depends on the house, insulating factor and square footage you are trying to heat. I will tell you hands down, pellets saved me lots of dough in the last 4 years.
Last season the coldest on record in the Hudson Valley I used $600. in pellets, $375. in wood and $265.00 in Natural gas from October 15th to April 15th. In retrospect the 2010-2011 heating season was warm. My wife and I used gas and 3 cords of wood. I used for the same period , $1860. in Natural gas.

and 20% more in electricity to run my 96% efficient gas furnace in my 1950 cape cod style home. Please also note that Natural gas least season spiked to t's highest levels in years do to the extreme cold. I would estimate to have spent $2,200-$2,500. In Nat gas and much more in electricity. So please before we comment on the forum that Nat gas is cheaper, lets examine the persons needs for heating.