Thanks for the input on the FP litter box, mschauer. I'm hoping to love it too. I haven't ordered it yet only because I wanted to confirm that my cat will use pellets, but she seems to be accepting them.
The best way to locate stove pellets might be to find the nearest manufacture(s) and then find out where their retail outlets are. That's what I did. I don't know how comprehensive this is, but here is a list of manufacturers
. I was able to find retail locations by visiting the website of a local manufacturer. They may be easier to find during cold weather (at major hardware stores, home improvement stores, etc.) But I think they should be available year-round at certain locations. I drove several miles to a more rural area of town and paid $4 for a bag at a farm supply store. YMMV on the material and size of the pellets that are available in your area. The pellets that I have are made from oak and are larger than Feline Pine pellets.
edit: I was at Wal-Mart today and noticed that they have the scoopable Feline Pine there. They also have a brand of pine pellets that is $8 for a 20 lb bag.