This year I purchased my third insert in the past 12 months, so I've done a fair amount of investigation and shopping recently. I put one in the house that I sold and two in the house that I just bought.
The main difference between an insert and a simple wood stove is the fan that an insert utilizes. Circulating the hot air into the living space is a huge efficiency advantage over just having a hot stove radiating heat.
Believe it or not, the price between a good insert and stove is about the same. Of course, you can pay a little more for the blower and trim kits for the inserts, but it's not a huge difference. Try to get the dealer to include them in the deal and don't let him "nickle and dime" you on those items or the installation. Shop around and be sure to ask if the price that you are getting includes those things.
The other issue is that an insert in your fireplace looks more "finished" sitting in the opening as opposed to the wood stove. If you have a standard masonary fireplace, chances are a wood stove would not fit inside the fireplace itself. Then you have the stove sitting out in the room and the fireplace opening left to deal with. My wife wouldn't go for that in her living room! And guests have commented on how nice the big glass doors make the fireplace look.
There is a lot of info on the internet so do your homework and shop around.

Thanks for the wonderful information, I've just started comparing inserts, say the Harmon Exception vrs a Quadrafire 3100, based on reviews I've searched for here and at hearth.com. But I also want to consider the stove idea and I realize that if the stove doesn't fit, it is kind of odd to have to deal with the fireplace with a stove in front of it. I bet if you could fit the stove inside the firepit. For the same price, I am leaning towards the insert but I want to cover all the bases. I really would like to install a wood stove in the basement and vent the subfloor to the main living space cause then I'd be able to heat the basement, supplement heat to the upper floors and still have space for the decorative fireplace. But I think the insert is a good compromise between cost and heat for my small ranch.

Jay

this is my first year with a fireplace insert and i dont like it i wish i had gone with a wood stove . this us messy ash all over everything . i thought cleaning would be less than fireplace and its more work