More important than what type of wood is the moisture content of wood. If a wood is cut green it needs to age or season before being burned. It is best to cut wood in the early spring or mid winter and let it season until the next heating season. It should be stored in a dry area or at least covered with a water repellent tarp over it so it does not get wet. By keeping the wood dry it will burn a lot better and safer. When wet wood, either green or rain soaked, is burned most of the heat energy is used to first boil the moisture out of the wood. Almost all of this steam sticks to the chimney walls as creosote. Most energy is used to produce the steam and very little heat is given off. Green wood produces copious amounts of creosote laden smoke which will rapidly collect on the walls of the chimney and requires frequent cleanings for safety as it builds up to dangerous levels. So burning wet or green wood dirties a chimney faster than using dry wood. Instead of worrying about the type of wood make sure what ever wood you burn that it is thoroughly dry.
What kind of wood to burn? The kind you have. Seriously. But you will get longer burns using hard wood. The density of the wood is what makes it burn longer. Hard wood is very heavy due to the pores being very dense and close together because usually it is from slow growing trees. Soft wood on the other hand is usually from fast growing trees and filled with loose air pockets in its fibers. It burns rapidly and is of little use in supplying long lasting heat. You will spend most of your time emptying ashes rather than getting warm when using solely soft wood.
Which is which? In this part of Texas we are blessed with very few hard woods. The primary ones in central Texas are oaks, mesquite, elm, pecan and bois d'arc. There may be a few more that are located in isolated spots but these are the more common types. I have to differ with some of the tree experts as they list as hard woods trees like cottonwood, hackberry, ash and sycamore. Those are common trees around here but in the south their wood does not seem to be very dense and are fast burning due to the milder climate which allows for fast growth.
The ashes we have, Texas and Arizona varieties are especially fast growing and seem very different fromthe northern slow growing trees that baseball bats are made from.
Some of the plentiful but what I call soft woods around here are the evergreens among which are cedars or technically the Junipers. You do not want to burn these because of the resinous pockets in the wood that explode and pop as it burns, spewing hot embers every where including up the chimney.
If you purchase your wood almost all the wood you will be able to find is live oak and mesquite. I suspect if you buy the convenience store wood in a plastic wrapped package you are getting some of the wood I question as being hard wood. Reports say it burns faster and does not build up good coals. That is characteristic of soft woods. Anyway it is very expensive to buy wood that way.
What ever you burn, burn responsibly by drying the wood properly, storing it properly and having your chimney cleaned as needed.