Food quality wood pellets for use in pellet grills seem to be relatively new to the grilling and barbecue scene, but have actually been available for about three decades.
All-natural wood pellets are about the size of a baked bean and are made from a variety of trees to pair well with different meats. White meats like chicken and pork absorb the flavors of fruitwoods like cherry and apple. Beef takes on the flavors of hardwoods like hickory and mesquite well, and fish often works well with cedar or alder wood pellets.
Pellet grills often operate in a range between 150°F-450°F. Pellets are less messy than the black soot of charcoal, and often are available in convenient 20-pound bags that you pour into a hopper, which feeds the fuel to your grill. Because wood pellets are basically compressed wood shavings or dust, they are susceptible to moisture and humidity.
If possible, wood pellets should be stored inside and in a sealed container until you are ready to use them. If you use a pellet grill in the late fall, and do not plan on using it again until the spring, it would be a good idea to remove the unused pellets from the hopper, auger, and burn pot to limit exposure to moisture.