Yes pellets do differ. When you buy them check what you are getting - some are 100% the wood flavour that you want and others use something like Oak with the flavour wood as a filler. Their is nothing wrong with the ones that use the filler wood but they will give a different flavour intensity. Also different pellet manufacturers use different pellet extrusion sizes and pressures. Depending on what you are going to do with the pellets this can affect the result.
To start with I recommend that you try a brand that is 100% flavour wood and see how you get on with it. A lot of folks here buy from Todd at Amazen products so there would be a good place to look.