Walmart has a 40# bag of Pit Boss Competition Blend for $19.76. According to Amazon it's $30 for that bag and has great reviews.....I'm a total n00b to this so I picked up a bag!
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Now that you guys sucked me into this rabbit hole, I was just going to ask about pellet sources in the Front Range. Going through Outdoorcooking.com (where I bought my CampChef, thank you Great Kazoo!), and using their almost unending 10% discount, I get pellets delivered to my door for a total cost of $15.30/20 lbs. As a newbie, I can't rate the quality but their pellets seem to have very good reviews. Don't have room for a pallet or the time to drive long distances. At most, I can see buying 100 lbs and even that would get serious frowns from the better half. Open to suggestions on feeding my new addiction, so to speak.
...or if you don't have a dog.
Best 2 pellet brands are cookingpellets.com and Lumberjack. I've tried them all and these are the 2 i use now. Better flavor, better temps, pellets are a consistent size , and the ash production is less than others.