I know that "you get what you pay for" is a rather tired expression, but never more true than with woodburners. There are plenty of diabolical, cheap steel burners around. Imported from China and the Far East, they look like the real thing, but are good only for workshop stoves.
It's a huge subject these days. You only have to Google to find the best names. I would certainly go to an established dealer for advice. More than one if possible, to look at different makes.
Jake's link gives all the tech. stuff you need. The size (output) will depend on how you plan to use it, as well as room size. eg On its own, or with other heating?
Below a certain size (4 kw I think) you won't need a vent for air supply.
Through the wall is fine if you have a gable end. For a "hipped" roof, the height of the flue-pipe may begin to look silly. Something to think about.
Twin-wall, insulated flue (stainless steel) is very expensive. Cost that out. You have the alternative of building an external masonry flue and chimney stack.
With a Twin-wall pipe on the outside, it can be left, or easily boxed in and rendered. Boxing-in with timber frame and render is much cheaper and quicker than heaving concrete blocks around.
If you go for a large burner, put the air intake vent either under the unit (ducted to outside), or through the wall right behind it. Don't let them put a vent on the other side of the room... the draught will be terrible.
W/burners are rather like cars, or anything else...... lots of research :o)