Stoves range in pricing due in large part to their "smartness" and their heat exchanger. More expensive stoves will almost always have options like a built in thermostat that cycles your burning on when it's needed and lowering the flame when your room is at or near an appropriate temperature. As technology becomes cheaper, however, you'll see this technology become more and more affordable.
In reality, the biggest difference in inexpensive stoves and more expensive stoves is the heat exchanger. A better heat exchanger captures more heat from the same burn chamber to be pumped into your home. This means less pellets burned every year and less maintenance overall. There are a lot of good manufacturers out there, but Harmon and Quadra-Fire are some mainstays you can't go wrong with.