Pellets are basically a "commodity fuel". There are only X number of pellet factories out there. They have to truck in the raw materials ($), then potentially chip it ($), dry it (more $) and finally compress it and package it. At this point, one has a pallet full of bags of pellets on the factory dock.
Now the second part of the geographic issue comes to the fore: Where are you relative to the nearest pellet plant ? That distance directly influences cost. Next question: How many places near you actually sell pellets ? The fewer there are, the more the price can be "loaded" after covering the manufacturing cost and initial distribution charges.
That is unfortunately the sad state of affairs. So the price can to a large extent be down to your luck in possibly having a pellet factory within 50 miles where you could purchase and collect your pellets directly. People who have that luck may pay $160/ton, which is just about equivalent to the price for natural gas (at least in my case). For folks who have no NG supply and who may be purchasing propane or 100% electric, pellets at $160/ton would more than likely be 1/2 to 1/3 of the cost of those 2 super expensive fuels. If you are paying $250/ton of pellets, you will save a little, but the monthly cost will still be substantial (about 1 ton/month with our southern michigan climate). If your climate is much milder, it will of course be less.
If I were you, I would check with the local DNR and state forrest offices, since in most cases it is possible to obtain a firewood permit, which allows gathering up to 5 cord per household per year - with strict rules on what you can and can't do of course. Even if you don't do that, there are many ways to buy firewood. You could buy a grapple load ( a truckload of logs which get dumped in the yard - normally 6 cord yield). This is normally the cheapest way. Failing that, you may buy pre-cut and split cordwood. The price depends on availability, type of wood and how long it has been seasoned. Freshly split green wood should be the cheapest, but of course you can't use it this winter. If your'e starting out, you should buy at least enough dry seasoned wood for this season and then close to the end of the heating season, try to get a "deal" on another load of wood for next winter, for which green split wood will be fine.
In my case, I heated last winter with corn, but due to the dramatic price increase in Nov 2006, I really only saved a little money compared to NG. This year, the majority of my heat will be from wood, for which I didn't spend any money at all. I will provide some supplemental heat in the basement with the corn stove, but will only use about 25% of the corn compared to last year since the area heated is quite small. And I have written about my experience with losing power and being unable to run the corn stove unless the generator was running at the same time.
The back up battery systems are quite expensive, on top of the already high price for the corn / pellet stove. And then the final nail in the coffin is the noise from operation. The auger occasionally "cracks" some corn on my stove, which is WAY louder than the feed systems for pellet stoves and on top of that is the sound of the combustion and convection blowers that must run 24/7 if it will be your primary heat source. That is the reason why the corn stove is going into the farthest corner of my basement, since I can't tolerate that noise in our living area 24/7.