Pellets are available from a number of sources because they are popular for use in home heaters, so if you are worried that you will be buying a gizmo that might be worthless someday if the pellet supply runs out, it is unlikely. As more and more pellet grills appear, and word of their excellence spreads, sources for pellets will become numerous. I've even heard of a few Home Depot's carrying them. The bad news is that I have tried several brands and I always return to BBQr's Delight. They seem to have the least sawdust, so they are less likely to clog the auger, and they have a higher percentage of the flavor wood on the label.
A pellet hopper is what you put your pellets in. The grill will automatically help itself from the hopper and use it to maintain the temperature you want it to. More heat requirement will use more pellet, and less heat will use less. What you need to make sure is that you have a good sized pellet hopper so that your grill can keep using from it and you do not have to keep refilling the hopper too often. There are pellet grills out there that are powerful and gentle enough to be cooking for hours, and sometimes overnight, all thanks to its large pellet hoppers that keep replenishing and refueling the fire all throughout.
With 341 square inches of cooking space and a digital control board that sets the temperature from 180 to 500 degrees, you’ll be cooking whole meals in this grill, even though it’s the smallest model that Pit Boss makes. It will hold up to a dozen burgers for parties, or a chicken and vegetables for the family dinner. When cooking is done, the porcelain coated grill grates are easy to clean.