I was in Montana last week, and stopped by a stove shop. They were burning Wyoming bituminous coal in a Quadra-fire pellet stove, Mt. Vernon model. Holds 80 lbs in the hopper. He said they'd been burning coal in it for about a year. They talked Quadrafire into certifying it for coal, and said it would be certified in the next few weeks.
The stoves run about $4000 though. But still interesting.