I know some knowledgeable people very fond of the pellet grills, but I have no experience. And no clue about what might be in the pellets, though I bet they are just wood with an innocuous binder.
As far as healthiness goes, all grills are healthy as long as you don't char the meat. My idea of the healthiest grill is the grill that gets you grilling the most because I am a big believer in grilled food.
Which comes back to my own personal preferences which are definitely toward charcoal and the Weber Kettle grills in particular. I grill a lot. Like three to five times a week, 52 weeks a year. The Weber Kettle gives me the ability to cook over indirect heat and add a little smoke if desired, without the need to fire up my big manly smoker. It is also flexible enough to allow grilling, though I seldom use direct heat. I actually have two kettles so that I can cook at different temperatures or different types of smoke in a single meal.