One of the bigger challenges for pellet cooking is finding affordable fuel. In some parts of the country, including mine, retail cooking pellet locations are few and far between. Lots of pellet cooker owners must supply their pellet fuel via online orders, which I have done...and that will increase the cost because of shipping fees. Obviously its better if you can find some local dealers. Most of the major pellet manufacturers have dealer search options on their websites. Another option for online buying is Amazon.
One suggestion: if you have an Academy Sports and Outdoor nearby, check to see if they stock B&B Pellets...those are good pellets that I use quite a bit. My Academy locations carry them in 3 flavors (hickory, apple and mesquite) for around $11 per 20 lb. bag.
Like most of the pellet cookers here, I am always searching and shopping for affordable pellets. check out this extensive thread on the subject:
Hope this helps...good luck!