A rocket stove uses a high-temperature combustion chamber inside an insulated chimney to efficiently burn small diameter pieces of wood. This blog describes how to make a camping version out of tin cans. It looks like a fun project.
If you’re looking for something ready made, check out this review of the EcoZoom rocket stove ($114).
Update 5/12/2013: Or you can buy the tin can version above for $40, already assembled, at Premium Rocket Stoves.