We have a wood burner which also takes coal - is that what you mean? It's a bit like the one in the picture below.http://tinyurl.com/cetcezs
We only tend to use wood in it as we have our own because we have lots of trees which we can chop at (though you need to 'season' the wood for a couple of years before you use it). We did use coal a couple of times but I didn't think it did as good a job. We have quite a large lounge and the burner heats it really well; and it also heats the next room, the hall and the bedroom above it. DD is very warm-blooded so it's good that we don't have to have the heating on all the time as she complains of being too hot.
Apart from all that, it is just gorgeous to sit by and gives the room a really nice focal point. We couldn't afford it at all when we had it put in but love it lots and are so glad we did it. We've even cooked soup in pans on the top when we have had a power cut, and we have a toasting fork too for the embers.
I have never had any issue with noise in the wind; and we get the chimney swept very infrequently - they use some kind of device now which means no soot or mess. You need to put some cowling over the chimney at the top to prevent birds coming down, that's all.
I do wish, though, that we had a range in the kitchen and could get hold of decent proper beef like they had in the olden days when I were young, and we could cook it there. Sigh.