Ebbie's right - dry and well-seasoned is crucial. Get a local recommendation for a supplier, because I've had damp, unseasoned wood delivered in the past and it's been a real pain. I find soft wood (pine usually) is good for getting the fire going, and then hardwood (oak usually) for the heat and longer burning.

However, this year it's been really cold and I wanted to get as much heat out of the fire as possible - so I've been using coal quite a lot of the time - long burning, good heat and cheap. I keep a few logs in for when company comes. :)