Devoto
Sounds like you are just thinking of a space heater rather than a boiler (i.e. just a stand alone stove to heat a particular room, rather than a pellet boiler to power your central heating). If I am correct then you will not need to buy the pellets in bulk and can buy them by the bag load to be loaded into the hopper built into the stove. If this is the case you will only require storage for a number of bags, and a garden shed or anywhere that is not exposed to the elements will be fine.
As previously mentioned pellets must be kept dry, however if they are already in bags a garden shed should be more then adequate. Pellet boilers on the other hand usually require a dedicated bulk storage space with an automatice feeder into the boiler.
For what its worth, we have a pellet stove heating a 35m2 double height room and it is brilliant, uses about a 20kg bag a week at this time of year, probably no more than 30 bags a year. it provides more than enough heat, is efficient and easy to clean and IMHO looks pretty good. I buy about 8 to 10 bags of pellets at a time. While this isn't the cheapest way to do it, it works fine for us.
J2K