If you can go with gas, do. The main issue I see with it is needing to know how to shut it off if something happens. You could want to make sure you have the proper wrenches easily available and know how to use them.

We have a wood pellet stove insert that does a great job of heating our house other than the back office where we use the electric heater as needed. The only issue with the pellet stove is that a page of pellets is 40 lbs, and a bit more than I can easily carry if my husband forgets to fill the stove before leaving for work. And buying them by the ton would be beyond me if I didn't have him. Other than that, it's very easy to clean, and the heat is very nice.

I vote for gas. It's cleaner and the neighbors will thank you.

I grew up with a wood-burning fireplace back in France, so wood all the way :)