Since you are building the house, consider skipping the masonry chimney expense and go with a QuadraFire 7100 Fireplace.http://www.quadrafire.com/Products/7100-Wood-Fireplace.aspx
When we built our house I paid for a traditional masonry chimney/fireplace with three (3) flues, one for the oil furnace, one for a basement wood stove, and one for the fireplace. My brother did a stone facing on the fireplace. Unfortunately the mason that build the fireplace did not follow my drawings so we ended up with a worthless modern firebrick lined cavity in the wall that just burns up wood without providing any heat. 3 years ago we put in a QuadraFire Medium Insert and love it.
If you are set on a masonry fireplace and then an insert, I would consider building a Rumford Fireplace
and then use a freestanding wood stove. That way if you ever decide to move the wood stove someplace else it will leave you with a "real" fireplace.
Between the two stoves we burn about 6 cords of wood in a typically cold New England winter along with one tank of oil. If we just heated with oil, we would use at least 5 tanks of oil. Our stoves paid for themselves in one winter.
Joe - sorry to hijack your thread. Downside of Pellets are you have to buy them and you need electricity to run the stove. Upside is you scoop a small bucket of pellets, fill the bin, and let the auger move the pellets to the burn pot. Other than unloading the pellets into a dry storage area, not much work to it. Free wood and exercise to split and stack it keeps you sane and in shape!