Joe,
Where do you chimney the pellet stove?? ANY smoke issues with it?? In my part of the world,land of corn and more corn,,it would be first choice with pellets as a back up.
How many dollars a COLD month does your stove burn??
BEST cheapest yet I BELIEVE is a gas high efficency furnace. Maybe not the top of the line since they are real expensive,,,but one that is efficent enough to use 2 small pvc pipes to the outside walls to vent /intake.
I grant my house is small,800 square feet, new double pane replacement windows and I set it at 65*(makes alot of dif) but the coldest month of all should have been last month,,,had a few 20 belows in there,,,and gas bill was 106 bucks for 32 days. have the pvc pipe newer furnace.
Those old metal chimney gas wasters are about shot everywhere anyway. Somebody said they are like frigs. in our kitchens,,,if they are 15-20 years old they waste more than they NEED to and replacement makes sense.
A furnace and central air can be had for a very reasonable price,,,IF duct work doesnt need redone!!
To original poster,I would see if gas service is still in the house and convert BACK to a higher efficency gas furnace. Will always be cheaper and add central air so they dont screw up your windows with window air!!!