Electric heaters do provide very nice heat. There is no difference in efficiency between the very cheapest and most expensive electric heat units. Oil-filled radiators, quartz heaters, old fashioned milk barn heaters, Sun-Twin IR heaters - they all are ultimately resistance heaters. Which design to choose is a factor of your own needs and the particular space to be heated. Currently, the operating costs for electric resistance heating is the most expensive method available. However, the capital costs can be very, very low. If you are just trying to heat a small space you may never, ever recover the extra capital cost of more efficient heat sources.
With pellet stoves in general, and modern EPA rated wood burning stove, odors and smoke should be a non-issue. I have a general rule that says if I can smell or see my stove operating when outside, then something is wrong.
For the wood burning options, do yourself a favor and spend a few hours at
www.Hearth.com . Then, when you are ready to ask questions, sign into their forum at
Hearth.com Wood Stove and Pellet Stove Forums....and much more! | Powered By ExpressionEngine . I am not trying to blow off your questions, but for anything related to fireplace or stove heat systems there is more information there than anywhere.
Good luck!