If you live close to the Cookinpellet pellet factory like Advantage49 or work at the BBQr's Delight pellet factory like me, you can get cooking pellets at a reasonable cost. I get all the broken bags I want to haul out! Otherwise, you're going to have to search a bit for pellets. Good news is that pellets are becoming more and more available nationwide.
If you're out West, most cooking pellets made out there have an Alder base wood with flavoring woods or oils added for flavor. Honestly, I don't know if Traeger is still making pellets using their patented oil method. Typically west of the Mississippi River Traeger pellets are alder based and east of the Big Muddy pellets are oak based. I heard a couple of weeks ago that Traeger had a pellet plant in Midland, TX that was making an oak-blend pellet. I doubt it though. I've been to Midland and there aren't many trees out there!
Pacific Pellet manufactures out of Oregon as does Bear Mountain. These are both alder based pellets.
Cookinpellets is a real powerhouse in pellet manufacturing. Up in MN area I believe. They have a lock on pellets at Amazon. I don't know how they are selling 40# for $35 delivered. That's a good deal because freight on pellets is high. And I've use the perfect mix pellets, they aren't a bad pellet. I disagree on using 100% hickory though.
Lumberjack is also a force out there. They make their pellets from whole trees rather than residual sawdust. Because they use it all, there tends to be more bark in the pellets. In my opinion, this makes for a potentially bitter taste on food and definitely more ash in the fire pot. Higher ash will effect the performance of any pellet cooker.
B&B Charcoal sells pellets in Walmart, HEB and Academy Sports. I know about these because we make them. Price is about $12 for a 20 pound bag.
I don't know who manufactures for Green Mountain Grill, Camp Chef, Cookshack, Q pellet, Rec Tec or Grilla. I do know that 5 of the 6 do NOT make their own pellets. All of these grill manufacturers are following the Traeger business model to control the expendable that runs their devices.
Bottom line -- hunt for what's available in your area. Look online if no local reseller is there. Look to buy in bulk after you've tried a particular pellet brand, that will save you money.
There's as much difference between pellets as there is in charcoal briquettes. Look around, you'll find one that will work for you at a comfortable price.
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