What do they cost?
About $1,000 to $5,000 for a pellet stove or an insert, depending on style, size, and heat output, plus another $300 or so for the vent pipe or chimney liner.
DIY or hire a pro?
Unless you're comfortable cutting holes in your house for the venting, leave installation to the pros. Pipes can run horizontally out an exterior wall, vertically through the roof, or up the chimney if adding an insert. Expect to pay $250 to $1,000, depending on the complexity of the job.
How much cleanup?
Pellet stoves create a tiny fraction of the ash produced by an older wood-burning stove or fireplace, so cleaning is much less frequent. If used daily, empty the ashpan once a week.
Are there government incentives to buy them?
Several states offer property- or income-tax rebates; some, such as New York, don't charge sales tax on pellets. Check with your state's department of energy for details.