I'm in New England. We just got a wood stove last winter, so it's still new to us, but we are very happy with it so far.
I have this stove:
You can actually get something similar for cheaper, I think it's the Vista model. But I settled on this because it has the small cooktop as well. Since my range is electric, I wanted to have a backup cooking source in the winter if the electricity goes out. The cooktop is small and this is by no means a full cook stove, but you can certainly keep a kettle on it constantly, etc.
You can install a blower fan to circulate the heat better, if the heat is not getting around very well. We don't have one and don't feel we need one.
We paid roughly $5k for EVERYTHING, the stove, labor, chimney pipe, inspection, etc. It was a lot of money but with oil prices the way they are going, I think the payback will be pretty soon. (Oil prices are triple what they were when we moved in 7 years ago). We're buying cords of wood, split and delivered, for $160 a cord. Plus DH is getting extra supplementary wood with his own labor. We have not gone a full winter on wood heat yet, but I've read people use between 2 and 6 cords of wood a winter. I'm assuming we'll fall around 3.5 or 4 cords, since we seem to be ok doing just 2 burns a day instead of 3, and our house is small and well insulated. Since we're paying something over $2k a year for oil, you can see that $640 for 4 cords of wood is a total steal (though we'll still be using some oil because our hot water is hooked up to the same system... I hope someday we can add solar hot water). Even if we end up using 6 cords... that's half the cost.
The fireplace is so inefficient that in some cases you might be LOSING heat by using it. It's nice for ambience and that's it. The stove we have has a window so we get to enjoy the fire (and we do... we spend evenings playing board games in front of it and watching the mesmerizing flames). The efficiency of these things has gone up incredibly over the years. We have found it takes a good while to get things heated up, but the heat lasts nicely.
IMHO, gas is not a good option since natural gas is in the same boat as oil.
The stove I have is not large at all. Our house is 1100 sq ft and the room it's in (the dining room) is not large. We also have a corner install, and those usually take more room. Yet it's a small unit, and it's rated to be installed pretty close to the wall. I too was afraid about the amount of room it would take, but I'm very pleased about how little it turned out to be.
Pellet stoves are nice and a good option. They were all the rage a few years ago since the pellets were so cheap (manufacturing byproduct). Since then the demand has gone up, and the price of pellets is not such a steal anymore (though not bad, either). DH and I chose wood because we cannot make pellets ourselves, and we enjoy having the ability to source our own fuel if needed.
You'd save money if you can use your fireplace chimney - the pipe for our chimney was a significant part of our cost (about $1500 I think, but don't quote me on it). You'd have to talk to your stove dealer to see if they can use your chimney as is. I don't know the details, but it has to be dedicated (not shared with a boiler or else) and certain dimensions.
Hope that helps! Good luck.