I have used charcoal, wood, pellets, chips, and shells. I have not used dust yet but really see why its used. They all work when used properly, and each has has a diffinate use.
Wood is best used in large pits, charcoal for Non-electrics, and electrics where a city ordinace is in place or a business has limited room. pellets, chips, shells, and dust are fire flavorings to allow a Non-wood smoker to taste like one.
Pellets and dust last the longest if you are trying to get the longerst smoke. This is either an expensive pellet smoker or some type of aux. smoke generator like an AMPs. The AMPs can allow you two hours of smoke and I have gotten as much as 20 hours with a well regulated vent.
The dust tube and a cold smoker are marketed to achieve the same purpose, although they can both be used as a standard smoker. Cold smokers are designed to use minimium heat and oxygen and still maintain smoke.
What you use is about you. I have an AMPs, bought it after my first smoke of a butt on a digital smoker. It allow a long duration of a small amount of smoke. This is perfect especially for you new smokers because it takes the ability to over smoke thru a heavy handed load out of the smokers ability. It is also long lasting so you need not worry about if you'll get smoke or not thru a lengthy smoke.
I have pecan trees, for a gazillion years I have used pecan splits from wood gathered after hurricanes and storms. Then I learned that pecan shells offered the same smoke without all the work and its a renewable resource. Thats why I use a MES Cold Smoker with pecan shells. I get approx 6 to 8 hours of smoke according to how I regulate the smoker. Its large smoke, not creosote, but a larger volumne than others. Its perfect for my cold/warm smoking sausage, Andouille, bacon, etc.... I also think its perfect for double smoking. Thats 2 each 6 hour smokes in 2 days. But thats another story.
I like my AMPs and if it was stolen, I would have to have another. A huge part of liking the AMPs is Todd, and his ability to furnish high quality pellets continiously.
So you need to consider where you are located, whats the easiest procurement method, the highest quality material, and the type smoking you'll mostly do.
Most smoke generators when comparing apple to apples, cost about the same.
Oh and BTW even though I don't have a dust tube yet, I can tell you they are basically built as a cold smoker. All smokers can do all smokes, but its the right tool for the right job that makes life easiest.
As to you original question, I think I best anwsered it best by, "If someone stole my AMP's, I would have to replace it". You'll invest more in pellets than in the smoker itself. Quality product at an extremely reasonable price. I would probably think about the AMPs dust tray in if you live in the south simply because of the heat. I don't know how the price and avaailability of dust is compared to pellets.
You should not try to introduce the wrong smoker medium to an aux. smoker. IT can cause a meltdown.