From a chemical perspective, all woods are similar. However, drier wood more easily combusts. Hardwood is denser than softwood, so those purchasing wood by volume can save money by using hardwood.
In addition to providing better energy density, hardwoods also burn longer than softwoods, which leads many homeowners to prefer hickory, oak and other hardwoods. However, the wood's weight makes it expensive to ship, so people using wood as fuel can typically save by using whatever wood grows nearby, even if it needs to be replaced more often. It is often best to purchase wood early, as dry wood typically has a bit of residual moisture left over and letting it evaporate over a period of months leads to better heating.