IMO, if saving money is the main goal, a wood stove or wood burning insert is almost always going to win over pellet or NG. Before I get jumped on for saying that (especially without a mile of statistics and studies to back it up) let me explain what I mean.
If we say for the sake of argument that the cost to install a wood, pellet or NG insert (we'll use an insert in this example just for kicks) is roughly equal, we are left with the cost of fuel. If you have to buy and pay a premium for wood, you may as well go with NG and hit the t-stat. As we've seen here, the same goes for pellets. However, if you're willing and able to put in the time and effort to scrounge for free or very low cost wood, you can tip the scales in your favor.
Of course, the trade off is the increased amount of work. Not only is wood more work to acquire and process, it seems that as the cost of the wood goes down the difficulty goes up. For example, for a premium price you can buy seasoned and split hardwood and have it delivered and stacked. Or, you can work it down to having a load of log length dropped on your property and get to work bucking, splitting, stacking, seasoning and moving. One step down the price scale puts you in your truck with your saw searching for the elusive free score (not to mention that freecycle and craig's list seriously compete with hearth.com for your web time).
So, if saving money is the sole motivator; wood is the way. Of course, pellets do green you up a bit and even I'll admit that the "blow torch behind the glass" provides a lot more ambiance than the furnace ;-) .
I don't know how relevant this is to this thread, but it seemed like a good place to throw in these two of my cents.