CO is the only safety issue as it is with any heating unit that burns fuel whether it's coal, oil, gas..... I'm not really familiar with pellet stoves but assuming you have properly installed unit with natural draft this shouldn't be an issue at all for power failures.
If it has power vent that may cause some backup of smoke into the living space but since there is such a little amount of fuel burning it will quickly die out so there really isn't a safety problem.
I don't know how they compare to a wood stove for emissions. Emissions from a wood stove has a lot factors, most importantly the guy operating it assuming good dry wood. They are certainly much cleaner than a fireplace based on efficiency alone.
As far as cost... "depends". Current pellet prices are hovering right around what a gallon of fuel oil will get you. There's a fuel calculator here in Excel format that is quite comprehensive as it takes efficiency into consideration too.
FUEL COST CALCULATOR!!! - Anthracite Coal Discussion and News
You'll need excel or open office to work with it, just plug in the amounts you pay for the fuel and it will give you a comparison.