A pellet stove, like a wood stove, is typically a steel or a cast iron box lined with firebrick. They contain a hopper to hold pellets with a mechanical component to feed them to a cup where they are burned.
Pellet stoves do not usually need a metalbestos chimney like a typical wood stove. Pellet stoves are designed to burn a wood material. There is a lot of control involved in the combustion environment including uniform size in pellets, the feed rate and the amount of air let into the box.
Pellet stoves require electricity to run a fan, which blows hot air to the room. The price of pellets can be a concern depending on location.