We use them to keep stacks of bags of wood pellets in the winter, for our wood pellet furnace. Our basement kind of has a flooding problem, so keeping the pallets the wood pellets are delivered and using them for storage just made sense. Other than that, find yourself some illegal immigrants. Some pallet repair place near where I live endured a police bust, in which they discovered that many of the workers there were illegal immigrants.
The pallets I usually see are either some kind of fir tree, or else oak, though those are usually the heavier CHEP pallets, I believe. Just watch for all kinds of fun stuff like nails, staples, reinforcing plates, and chemical treatments. Sometimes plastic slats will be used too when pallets are repaired. Burning plastic will obviously produce toxic fumes, and heating galvanized metal could also do the same.