Frugal Heating - Pellet Stoves

Last winter was my first winter as a homeowner and also the first time
I was subjected to natural gas prices that rise for the winter demand.

I like the sound of a pellet stove.  My house is a ranch style, 1400
square foot, located in Wisconsin.  My rough calculations tell me that
I could significantly reduce my annual heating bill by using a pellet
stove as my primary heat source rather than my gas furnace.  Has
anyone installed a pellet stove to use as a primary rather than gas? 
If so, how much cost savings did you experience?

Any other comments always welcome!