We have been burning wood for ten years at our current home. Growing up, my Dad split and burned wood in our home also. My home and my parents home both have a wood insert. They are nice..but if I had my pick, I would do an outside unit.
This is for two reasons:
1.) wood, and more specifically ash, are messy. It's best to keep both outside since they both can cause extra headaches when trying to keep a clean house.
2.) better heat circulation. Inserts can easily heat the area of the home where they are located. Problem is they will have trouble heating rooms away from the unit. Unless you have an open floor plan, you're going to have hot and cold spots in the home.
Make sure you have someone competent do the install to ensure proper fitting, draft and flue size.
Also, make sure you get your flue cleaned at least once a year. Preferably at the very end or beginning of the season. If you burn a lot of wood that hasn't been down long, then I would think about two cleanings in a season.
I noticed pellet stoves were mentioned. If you intend for the unit to be your primary heating source, I would steer away from pellets. I can burn between 10-12 ricks of wood in season. I can't imagine how many bags of pellets that would translate into.