It's interesting to see this question this morning because I'm building a retirement home in Vermont and am looking at putting in a masonry "heater"/fireplace. I was told by the mason that it will cost about $16K to build a small one for my 1000 sq. ft. home up there. He told me to look at www.mainewoodheat.com which I have done and they have links to other sites that offer these very efficient fireplaces.

We had a masonry heater constructed in the center of our new construction home in Western Washington this past year. Obtained alot of educational information and subsequently hired mason from the Masonry Heater's Association website. Very informative, ended up with a seasoned, reliable, exemplary mason who did a wonderful job! Good luck!

Here is a link that might be useful: Masonry Heaters Association website