In my opinion a good KY coal is as good as it gets. As someone who's used both, I wouldn't waste time with the #8 as it will melt together and "bridge" in the firebox. The KY is well worth the additional cost, it's FAR easier to use and likely has more heat and less ash as well. The big question is, does the guy selling the KY coal really have KY coal (it's unfortunate, but some people lie about what coal they sell). If it's large rectangular lumps, burns to a white or very light colored ash, and doesn't really stick together at all while burning, you have good KY coal.
Make sure you use a minimum 8" flue from the furnace (even if the collar is smaller - immediately expand to min. 8") and use T's for easy cleaning instead of elbows.
The bigger the better -they burn slower and smoke less - use the largest lumps that will fit in your stove/furnace easily.
A good KY coal will be 27-29 million btu's per ton compared to about 17-22 million btu's per FULL CORD of hardwood.
Also, where are you located? there might be other coal suppliers in your area.