1) What kinda grill do you have?
2) Why pellets?
Traeger Jr. Elite, $370 shipped on Amazon right now: (it's the "small" one but can hold a TON of food)
http://www.amazon.com/Traeger-Junior...dp/B00DUQHAX6/
I first encountered a pellet grill at a fish house. Best fish I ever had - smoked AND cooked, amazing combo! The grill is basically a combination of a smoker & a convection oven. It's electric (plugs into an outlet) & has a temperature range of 180 to 400F. It uses food-grade pellets (no chemicals). The typical procedure is to smoke your food (180F-ish) for a set amount of time (say 4 hours for a 2.5-pound pork top loin) and then cook it for the remainder (30 minutes @ 350F).
It's pretty much all automatic as far as setup & cooking goes. Fill the side box with pellets, plug it in & turn it on to "Smoke" for 2 minutes with the lid open, then close it & turn it to the temperature you want. It's basically a better oven (because it has fans that blows the smoke around) with sort of a Bradley digital smoker built-in. Just cooking food in it adds a bit of smoke flavor to it & keeps things moist, but the real power comes in smoking and THEN cooking. Plus you can keep it going for 20 hours straight if you want - no coals to tend or anything like that. Super easy.
There's a lot of brands out there - Traeger, Green Mountain, MAK, Memphis, etc. Pellet grills aren't the end-all be-all - I still have my gas grill for quick flame-grilled burgers - but for the majority of stuff, it's amazing! It's basically the taste of charcoal without the setup time or having to babsysit it for long cooks, as well has getting consistent temperatures. Plus you can always sear on a gas grill or broil after if you're into that.
I've been wanting one for years, but they were always $700+ and I just didn't want to dump that much into a grill. Turns out I use it more than my oven, and it's so easy that my wife can use it without any hassles. Chicken, pork, beef, turkey, fish, even vegetables come out amazing on it. I threw on some zucchini slices with my last chicken run & they came out awesome!