A wood pellet is a small, 1/4 inch diameter piece of hardwood and looks like a long pill. Because of their small size, wood pellets burn cleanly and quickly to a fine ash. Wood pellets burn at about 8,500 BTUs per pound. Wood pellets come in a wide variety of "flavors" ranging from hickory and oak to cherry, apple or mesquite. The pellets in a normal pellet grill are fed from a storage hopper to a burning box at a controlled rate. This rate is adjustable based on whether you want a high temperature for grilling or a low temperature for smoking.
Because of the automated feed of the wood pellets, you can literally turn the unit on, give it 10 to 15 minutes to heat up, and be ready to grill in almost no time. This makes it as convenient as a gas grill but with the added flavor of hardwood cooking. Most manufacturers of pellet grills offer a temperature control unit (sometimes optional, but necessary if you ask me) that will allow you to set the temperature to within 5 degrees of your ideal temperature. This automation is also great when it comes to smoking. You can smoke for hours in a temperature controlled environment with little work from you.
One consideration on pellet grills, is the cost and availability of fuel. A pellet grill runs only on pellets, so you should know of a good source for them. Wood pellets sell anywhere from $1USD to $2USD a pound, though you can get them cheaper if you buy bulk. On high a pellet grill will consume about 2 pounds of pellets per hour. This would be the temperature you grill steaks and burgers at. You probably wouldn't want to have the unit running for a full hour but an average high temperature cookout would be around 30 minutes of on time. On the smoke setting, a pellet grill will consume about 1/2-pound per hour so if you plan on smoking for 10 hours you will use 5 pounds of pellets. If you are spending a lot on pellets this can get much more expensive than a gas grill. Now I have heard from people who tell me they can get local sources of wood pellets for as little $20 for 40-pounds so it pays to shop around and get a good price, but make sure you are getting good quality pellets. Bad pellets can jam up a pellet grill and cause your fire to go out.
If you are serious about real wood fire flavor in an easy to use unit, then you really should consider a pellet grill. Pellet grills can cost anywhere from around $400USD for a small one to up to 2,000USD for a big, fancy one. Check out my Pellet Grill Reviews to find the pellet grill that is right for you.