From what I've read they are more expensive, but that depends on the cooking temp, and what pellets you buy.
Pellets are generally about a buck a pound for grilling pellets, but I'm looking into a local source that is way cheaper. Its a blend of oak, cherry and walnut for about 12 cents per pound.
Fred
------- Blujays1: Spending Fred's money one bottle at a time, no two... Oh crap!