Here fuel pellets run about... $3 and horse pellets are $6+ depending on brand.
I used fuel pellets for a while, since they were so much cheaper. A lot of people at my barn use fuel pellets too. I never had a problem. If I was worried about my horse eating them, I would stand the bag up, open the top, dump a bunch of water in and let it soak. Once the bag expanded, I spread it around and it was more powdery and no actual pellets.
Fuel pellets are a bit dustier than horse pellets, but as long as I wetted them down every once and a while it was never a real problem.
Now that my horse goes outside and doesn't poo or anything in his stall (he has a run attached to his stall) I am using the horse pellets, just because then I don't have to worry about wetting them down.
In the summer when I go back to stripping his stall before shows and adding up to 10 bags of bedding (it's a nice big stall), I will probably go back to fuel pellets.
Take a ride across the badlands
Feel that freedom on your face - Breathe in all that open space
You'll understand why God made -Those fly over states