CandB - There are fuel costs and there are operating costs. Fuel costs come down to price/BTU. From what I remember, it takes 1.25 cords of firewood to equal the BTUs of a ton of coal, and 1.5 tons of wood pellets. That is one of the reasons I burned coal all those years. While the cost/bag of wood pellets was slightly cheaper, it took 1.5 bags to get the same amount of heat as coal.
The pellet stoves themselves don't put out the same BTUs as a coal stove. It would take 2 pellet stoves to get the heat I get from one coal stove.
If you own wooded property, all of your fuel may be free, but the costs are in the equipment and labor to cut, split, haul, and stack it, and it does tend to be messy. If wood or pellets get wet, they are less effective and/or won't burn at all. I can submerge coal under water for a week, take it out and still burn it. It does not absorb moisture.
Most pelltet stoves are elecrtromechanical, require power to operate, and are the least reliable of the 3 types of stoves. There is now a gravity feed pellet stove, but those were not available 10+ years ago when I bought my coal stove. I have not seen one in use so can't comment on it, and it would still take 2 of them to get the same BTUs as a wood or coal stove.
Fun - A lot of natural gas may be wasted in your area, but it is anything but free around here. I would still heat with natural gas if it were available, but it's not. Propane is a different beast and may be no better cost-wise than oil, depending on current prices of each.