Depending on how many pallets you have or can get, you could make flower boxes, dog houses, bird houses, and a childs playhouse to name a few. This could take a lot of time as you will have to take each pallet apart.
Since pallets are not readily available where I am what we do get we use for stacking hay and wood on. DH can put a pallet on his tractor lift and then load it with cut wood and haul it and put it beside the furnace.
Our wood outside furnace is a Hardy. You can probably do a google search on them. It is a lot like the others have explained. Water pipes are run to the house and it circulates the water through the hot water heater and through a radiator like deal on top of our electric furnace. This makes the heat, and the electric furnace's blower circulates it through the existing ductwork. I love it. No wood smell in the house, or dirt or ashes. It is all outside. Just, nice, even heat. It has taken more wood this winter as we also had a system installed in the detached garage to heat it from the same outside furnace.