As was said above,pellet smokers rely on pellets for both smoke and heat, and those two things are inversely related. The hotter you run, the less smoke you get. One key to pellet smokers is to smoke low and slow. I often smoke brisket, butts, etc. at 175 degrees for many hours before increasing temp to finish cooking. You can't be in a hurry or you won't get good smoke flavor (I think that is true for all kinds of smokers).
To echo others, pellet quality matters. I have used a LOT of brands of pellets (we go to trade shows and we get a lot of samples). A lot of pellets use fillers (Alder for most west coast products, Oak for east and midwest products) that don't have a lot of flavor. Unless we are sampling a new company, we only use 100% flavor woods from lumberjack (we just took delivery of two tons last Friday). I use a lot of pecan, hickory, some mesquite, some maple. There are other great brands of 100% flavor woods, but there are a lot of "blends" out there using filler woods too (Traeger is very common in the stores, and IMHO, some of the worst. Their pellets have different fillers depending on which subcontractor they are using for your region, so no consistency even within the brand). Some brands are better than others, but I find lumberjacks to be consistently high quality and easily available. If you can't find them locally in stores, look over on pelletheads.com - there are group buys advertised all over the country pretty frequently. Most will let you buy as little as one 20 pound bag (and prices tend to be lower than you can get in stores). If you contact someone from a recent group buy near you, they may be willing to give/sell you enough to sample - If you are anywhere near silicon valley, I will be happy to let you sample from our order.
Finally - not to argue with the others above - but I disagree about tubes. Tube smokers are a great invention and wonderful for some uses. Todd is a great guy and he has given us several tubes and mazes over the years to sample. Wonderful guy, very dedicated to his craft. I use tubes/mazes on my electric smoker (he makes a maze that is designed specifically for masterbuilts that is incredible), or to cold smoke. I experimented with them on my pellet rigs and I didn't see any real benefit. IMHO, If you need to add a tube to a pellet smoker to get smoke flavor (other than for "unusual" things like cold smoking), you should step back and examine your technique or your rig. Just my opinion - but if I smoke low and slow, I can get a nice ring and plenty of flavor without a tube.
FWIW, I also like my smoke chief smoke generator. Dramatically more smoke than a tube (but it requires attention periodically). I have even rigged up gas BBQs for smoking with the smoke generator - but again, I found it to not add much to my pellet rig.