When dealing with any kind of wood, you want overhead coverage from elemental concerns such as rain and snow, even if your wood pellets are already stored in plastic bags. Garages are the best places for storing wood pellets outdoors because they provide protection from overhead threats and also from lateral threats such as blowing rain. If you don't have a completely enclosed space, try to find an area with some roof overhang. Even modest awnings can provide significant protection from windblown weather. A boat shed or outdoor working area will serve the purpose in most climates and regions.
Because poor land drainage can lead to pools of standing water, you will want to keep your wood pellets elevated. This is easier if the pellets are already loaded into sacks or bags. If you have a loose supply, find a large reservoir such as wheelbarrows or empty metal drums. Once you collect the pellets in a central storage device, you can place them on the floor of a finished structure such as a garden shed. If the area is unfinished, however, rig a basic set of cross beams that are close enough together to lift the container off the ground.
As a back-up shield against the elements, use a plastic tarp to keep the pellets from becoming soggy and unusable. When fitting the tarp over the pellets, make sure it is drawn taut to prevent wrinkling that can channel moisture into the wood. You also could use canvas tarps, although they are more susceptible to rain.