High efficiency wood stoves don't put the smoke inside the house, they have heat exchangers that put the heat into household air and blows it back in.

On the price, a bag of pellets is $6.40, providing 264,000btu in an 80% efficient pellet stove - that's 41,250 btus per dollar. With my Mitsubishi heat pump, the seasonal average is 8940 btu per kwh, which means I need electric to be under 21.7¢ to be cheaper than pellets. Standard rate from national grid is a hair shy of 48¢, even my super cheap supply rate that I locked in the day national grid announced their increases, my rate is 26.5¢, and I don't think that will be available next year.