Looking at it dollar for dollar, unless you are either 1) burning a very expensive fuel (propane, etc.), or 2) getting inexpensive pellets (<$200/ton), I think that the savings you are going to realize from burning pellets is the natural savings inherent with burning a zone heater, which is what a pellet stove (or wood stove, or coal stove) really is.
Any whole house heating system has inherent inefficiencies which can be overcome by using a zone heater, but at that point the savings do not come from the nature of the fuel, as much as they do from the method of heating. Whole house heating systems are installed, in large part, for their inherent convenience. By burning a zone heater, you are exchanging some of that convenience for efficiency. Like everything, it's a trade off. That said, zone heaters are always more efficient, and there can be noticeable savings involved with burning a zone heater.
-- Mike
Any whole house heating system has inherent inefficiencies which can be overcome by using a zone heater, but at that point the savings do not come from the nature of the fuel, as much as they do from the method of heating. Whole house heating systems are installed, in large part, for their inherent convenience. By burning a zone heater, you are exchanging some of that convenience for efficiency. Like everything, it's a trade off. That said, zone heaters are always more efficient, and there can be noticeable savings involved with burning a zone heater.
-- Mike