A pellet insert may have 10 to 20 percent more combustion efficiency than a comparable wood stove. Plus, pellets are made from compressed sawdust, so they are recycled and renewable, unlike natural gas. But a gas fireplace insert will be even more efficient and will pollute less than a pellet insert.
Decide how you want to use the insert before you choose between pellet and gas. Pellets are obviously more work because you need to add the pellets to the stove periodically, then clean it out. They also require maintenance because there is a motor and moving parts. But a pellet insert will work during a power outage, whereas a gas insert may not.
A gas fireplace insert can offer heat and ambiance, but for many people, it is simply not the same as having a real fire. If this is a priority for you, choose the pellet insert.