A co-worker of mine uses pellets all the time as his smoke wood. I prefer wood chunks personally but its 100% do-able.
Pro's: Easy to store and use. Lot's of flavors and blends available.
Con's: little more set-up to make up a foil pack or similar to hold them. Can be a pain to get started. I wouldn't throw them direct on to the coals either or they will most likely burn off quite quickly.
Give it a shot and let us know how you make out