I'll be entering my 3rd season heating with Pellets, so my experience is somewhat limited. However, I have had the opportunity to try 4 different varieties
Bio-Plus purchased from Walmart
Energex purchased from Home Depot & a small stove shop in NH -->
http://www.energex.com/
Armstrong purchased from Home & Hearth (NH) --> (broken link removed)
New England Wood Pellets purchased from Home & Hearth (NH) -->
http://www.pelletheat.com/
All pellets were premium grade
All of the above were burned in my Hastings St Croix stove. I would say that any BTU output differences were difficult to detect. Bio-Plus and Energex had by far the most fines of the 4 varieties which puts them at teh bottom of my list. Ash build-up also seemed to occur more quickly with these 2 types.
Armstrong pellets had a really nice pine smell to them, which was nice, but I didn't notice that they burned with super efficiency..orm ultra low ash content.
So overall my vote goes to New England Wood pellets. Very little sawdust in each bag, and ash build-up is definitely less than what I experienced with Energex and Bio-Plus. It's also good to support a somewhat local business (for me) and I like the fact that they're not having to be trucked 1000 miles across the country to get to me. I also like the fact that I paid the same for 3 tons in 2007 that I paid in 2006. Hopefully that last point is an industry trend for 07 and beyond..though I imagine if/when oil spikes up everything else will follow.
Not sure if it is significant, but I noticed my 2007 load of NE Pellets states "up to 4% corn". Not sure what the reasoning for this was...and i'll be interested what the impact will be on the quality of the fuel. I'm guessing it won't make much difference