My primary heat source is pellets. I have a Harman PF100 pellet furnace. It's ducted so it blows warm air into the living areas, and has return ducts as well. I installed an optional outside air duct, so it draws cold combustion air, thus minimizing pulling air through gaps in doors, windows, etc. It's thermostatically controlled and will actually shut down/restart as needed. However, the thermostat is very basic and is not programmable, which would be nice. Overall, I'm satisfied with the beast.
Also have a wood stove in the basement family room for cozy TV viewing. Although pellet heat is more convenient/efficient, I do enjoy the whole wood burning ritual, including splitting, stacking and watching the fire.