We got a really good one second hand (ebay), the better ones are really efficient and not dusty at all. We've got access to lots of wood which means that our burner has definately paid for itself in terms of oil saved, I think that where you will get your logs is pretty key. Why not get some quotes for fitting?
You'll need a chimney or flue for it - if yours isn't suitable they may have to put in a flue pipe. And there are regulations about the hearth - the log burner has to be on a suitable surface, and the right distance away from anything flammable. So, I'm afraid how much it would cost is a bit of a "length of a piece of string" question - As LookingForward says, you'd be best to get quotes.
We have a log burner, but it's just an extra for power cuts, so we haven't though too much about the running cost comparison. You do get ones which do hot water too, but they'll cost a bit more to install because obviously you'll also need a plumber to join it all up.
We have a log burner and I think it's great. Doesn't seem to be too dusty. We have a never ending supply of logs, which cost us nothing, so of course it's a really cheap option for us. We don't use it for heating water so I don't know anything about that. However, we are thinking of putting another one in another room which doesn't have a chimney. We have been looking at catalytic log burners which don't need a flue. These are more pricey, but then again I don't pay for the logs!
We love our Jotul. Uses something called cleanburn technology, not at all dusty. Cost about £600 I think, we had it professionally installed. We buy in logs, 2 tons lasts all winter, costs about £30 a ton.
greenbuildingforum is a good website for asking about things like this as quite a few professionals subscribe to it (me included). Unfortunately I hav'r got any experience on domestic installations. Now, if it was an office or school...