According to the Maine Office of Energy Independence and Security, a wood-pellet-fueled boiler produces energy at about half the cost of oil.

A breakdown:

Assuming oil is selling for $4 a gallon and wood pellets at $250 per ton, and that both systems are using modern, efficient boilers, the price for a million BTUs of the wood pellet heat is $16.50; for oil, $31.50

To produce a comparable amount of heat at that cost, a gallon of oil would have to be priced at $2.10.