Corn, wheat, and rye grains are often burned in pellet stoves, depending on availability within a given area.
A couple of by-products that are used are distillers grain pellets from brewers and ethanol plants. Also, cherry pits from fruit processors.
Of course, all of them must be on the very dry side to reduce problems with smoke and other unwanted burn byproducts, but if they are, then they do make good fuels. Since they are not produced as stove pellets, they do need to be inspected to make sure they do not have much in the way of contaminates like grass, wire, dirt, etc.
I have read about a few people sun drying and chopping fallen leaves and using them with at least some success. A couple are trying the same thing using wood chips from a wood chipper that produces relatively small chips from limbs and such, not logs.
There are hammer mills and pellet mills available to turn quite a few different items into burnable pellets. Dried grasses and straw. Sawdust, of course. Even some municipalities are running their sewage through a digester and then drying and pelletizing the sludge. They are selling it (or giving it away) as fertilizer and pellet stove fuel.
I believe just about anything that will burn can be processed, if needed, and then pelletized. Waste paper if you have a large source of it, for instance: shredded into a container, add water, mix with a paint mixer tool on a drill until it is a mash. Pour it out and let it dry in the sun, break it up into pieces and then pound it with something into a powder. Now it is ready to be pelletized. Just add a bit of moisture.
Ken's question of ha binder for DIY pellets: Vegetable oil will work.
If you have a good supply of regular pellets you might try mixing some of the alternative pellets with them in various ratios until you find a ratio that gives good burning, but conserves the regular pellets as much as possible.
There are several videos and how-tos online. Just do a search for how to make pellets for pellet stoves.
Remember that using anything but the approved fuel for the stove will void any warranty and may affect insurance coverage.
Just my opinion.