Ah, heating with wood is wicked nice.
Some posts above have touched on the reasons heat feels different from different heat sources. It's all on the way it is transferred to people from the heat source, and partially influenced by how ambient temperature is measured commonly in a home.
While standing in line of sight to a radiant source like a woodstove, we feel often much warmer than the ambient air would have us think we should. Why? Because it's radiant heat. Humans, being opaque gray bodies, absorb many wavelengths of incident electromagnetic radiation. We are very poor reflectors (good absorbers) of EM in the infrared spectrum, which is most of what comes from the stove. Sunlight feels warm because we also absorb a fair amount of the visible spectrum as well.
Air, on the other hand, absorbs and reflects very little radiation, most passes through (generally speaking, in the infrared, UV and visible spectrums). So the ambient air temperatures around a stove may remain low, especially soon after start up, while a person standing there absorbing all that radiation will heat up quite fast.
Radiant heaters also heat surfaces in the house, as mentioned above, directly. Walls, floors and ceilings get warm. As they warm above the ambient air temps, they begin to transfer heat to the air via convection (and some conduction, sort of). This is one of the disadvantages of a point source radiant heater... to get the heat transferred to distant areas of the house, they practical way is via air convection currents. Before you can get any hot air to transfer via convection, you have to heat the room surfaces first which takes time, and even when you do, natural convection currents are not very efficient on the same floor (but work well between floors).
Forced hot air, on the other hand... may take some time for things to feel warm. Air is a good insulator, so heated air won't warm humans or home surfaces as fast as radiant heat will (generally speaking). Also, even as the air heats up, the walls may remain cool. This means a net radiation loss from a person to the surrounding walls/foor/ceiling which will make us think the ambient air temperatures are cooler than they actually are.
Ok, sorry, I could go on for a while about this but I'll quit now. I took A LOT of heat transfer in college.