Chances are if you found your way here you already own a pellet smoker. If not you need to do research to see which one is for you. Two good forums to check out are pelletheads.com & pelletsmoking.com. Price was the main thing for me. Near the bottom of the price range was Traeger, also one of the most popular wood pellet grills out there. At the time they were about $800. Now that was a lot for me since I paid less than $400 for my Weber gas grill and about $150 for my Smokey Mountain gas water smoker. Traeger at the time were moving most of their mfg. operations to China. Mak & Memphis Grills are both Made in the USA. Their Owners love them, they are well made but the cost is in the $1500-$2000 range. If money is no object then look at Fast Eddy smokers at cookshack.com, cheapest model is $4000. I walked into my local butchers early last summer & he had a Traeger outside cooking & the smell was great. He gave me a taste of country ribs he had just cooked. That did it for me, went back the next day & bought a Traeger Lil Tex Elite. It was already broke in so I started cooking on it & hardly cooked inside all summer. I even did a few cooks on it through the winter. I love it, usually just set it to the temperture I want & sit there watching it cook. Very easy to clean, I keep clean foil on the drip pan, just fold up the mess & throw away after a cook. I have a small shop vac I use to suck up the leftover ash after a cook to start with a clean fire pot. All the grease dumps into a small bucket. Another smoker in the price range of the Traeger is Green Mountain Grills, also made in China, worth checking out. If you check out pelletheads forum you can see both grill owners have had some problems with them. I have had very little problems with mine, after learning how to use it, I get consistant good cooks from it.
I posted a few of the mods I have made on my Traeger under INFO, but be advised any mods you make to your smoker may void the warranty!!
Update, Dec. 16, 2011: Since I first wrote this there has been some new pellet smokers on the market. Fast Eddy's Cookshack PG 500 is one that is US made, all stainless steel & has 4 heat zones for some useful cooking & should be on the market after the 1st of the year. I think it runs about $1500. Another is IPT Mod. 550 & is partly made in the US & some made in China. Another just new is Blaz'n Grill Works Grand Slam, made in the US with some new features like a pull out fire box for easy cleaning. For great tests & info on these grills & a lot of older ones visit pelletheads.com for some great performance tests along with photos & videos. Administrators Larry & Bentley do some good & comprehensive tests on Pellet Smokers.
Since I first wrote this three new companies are making pellet grills worthy of consideration. Yoder Pellet grills & Blaz'n Grillworks both are USA made. IPT Grills are mostly made in the USA.
Update: Oct. 2012 IPT grills has gone out of business after just one year. Rec Tec Grills is a newcomer in the market and look good to me. Mak and Memphis are two other good pellet smokers. These are all tested on pelletheads.com forum.
I still love my Traeger and do a lot of cooking on it. Most of my cooking is done under 350 deg. Above 250 deg. you will not get much smoke flavor. I use mine a lot as just a convection oven and even as a slow cooker.
Update: Nov. 05 2012
In the past year IPT grills has gone out of business after only one year. If you can pick up one of these at a good price it may be worth it. according to pelletheads testing it was well made. Rec Tec grills owner said he would work with anyone who needs parts for their IPT grill.
Two more pellet grills on the market are Dream Werks Custom grills that look really well made but probably expensive. They have insulated and non insulated models.
Corn Glo is another one and looks interesting they will burn both corn and wood pellets or any combination. pelletheads will be running tests on these units in the future, check them out.
Update Sep 26 2014
I have not done much research lately on new pellet smokers on the Market. Ones I have heard good reports on forums about are. Made in the USA, Mak, Yoder, Mamphis, Louisana, and Rec Tec. They are all well made and some have different features so check them our for one that meets your needs.
Green Mountain Grills is made in China, they had some growing problems but I think the Company has them all pretty well worked out. They are one of the lower priced ones I mention above and comparable to the Traegers, but may have better temperature control. All I know on my Lets talk BBQ forum like theirs. Another good forum that has evaluations on some of the above grills is pelletheads.com.
I know for some the price tag of $700 US and up is a lot to pay for a grill. That is what I paid for my Traeger and at the time I thought was way too much but I am glad I have mine.
Two lower priced ones are a Traeger Jr. at $349 and a Green Mountain Daniel Boone at $379. They both are popular with campers and tailgaters. I think they are large enough for a small family to use.