Masonry heaters have long been built in the colder climates of Europe, but they have taken quite a while to catch on in America. They are massive in size, but they burn wood very cleanly and store heat for long periods of time, making them much more efficient than typical wood stoves you can acquire commercially.
Instead of the actual burning wood providing most of the heat in a space, a masonry heater is fired for a long period of time (depending on the size of the system, but typically several hours), and then the thermal mass of the heater provides a comfortable radiant heat in your living space.
Masonry heaters are massive systems, and a big undertaking to design and construct. They are very large in size (sometimes they need their own foundation for support), and can be expensive, too. But the benefits far outweigh this: they are one of the cleanest ways to burn cordwood, and the quality of the heat is much greater than that from a wood stove. You can save much in the way of your winter heat costs with a masonry heater.
For more information and details about masonry heaters, I encourage you to check out The Masonry Heater Association of America, which publishes a portfolio with plans for several different heaters that have been thoroughly tested. The website also includes many details about building code issues, information for manufacturers, designers, and professional heater builders.