I heated with coal 100% for the last 3 winters, burning about 5 1/2 months per year. I had an Alaska Kast Konsole stoker in my basement, which burned rice coal, and has an 80-lb capacity hopper. Several of my friends heat exclusively or partially with coal, all in Harman Mark III stoves burning nut coal.
The cost can vary according to your location and type of coal you burn. Generally, the larger coal requires less processing and screening, and is cheaper than rice coal. Bagged coal runs about 5 dollars a bag here, last summer I paid 90/ton for rice coal, I picked it up right at the breaker. It would have been 150 delivered. I burned close to 6 tons a year, with my stove in the basement and with an old, old house that doesn't have a lot in the way of insulation, but does have new windows/doors. Most of my friends that heat with just coal run about 4 tons per year.
Dollar for dollar, nothing matches anthracite for cost if you buy fuel. Of course, if your wood is free, that wins out. I never had any problem with smelling exhaust from my stove. One thing to keep in mind, which I didn't like about my stove, is that you CANNOT burn coal under any circumstances when the outside temp is above 50 F. You will kill yourself if you do, coal does not create draft like wood. I like to be able to burn a small wood fire in the fall and spring to chase the chill, so the stoker just wouldn't cut it. But nothing beats the convenience of the stoker, I tended it twice a day, it would go close to 18 hours on a load on low.
Another thing to keep in mind is disposal of ash/cinders. Coal flyash is toxic waste, and any neighbor that wants to can turn you in if you just dump it in the yard, and you will have to pay to have a hazmat contractor come in and clean it up. Not that it's plutonium, just be very discreet if you have a small lot.
I produced about 8 cubic yards of cinders/ash per year, some went on the driveway, but the rest had to be disposed of, which was a pain since I live in town. A normal concrete truck holds about 10 yards for comparison.
Coal has a steeper learning curve than wood, you will smother a fire or two, overshake and put it out, not shake enough, too much draft (you can reaaaaally overfire a stove with coal!). Once you get your process figured out, it's no problem, takes a few minutes to take care of.
Hope this all helps. My stoker was destroyed in the floods in June, I bought a new wood/coal furnace this year. I haven't burned coal in it yet, though. I have a couple bags on hand if I want to try it later in the season.