I never really like burning pine cones in a stove. They do burn good, but they left a sticky black rosin behind as soot.
It was very hard to clean off the cooking pots and it softens when it gets warm and sticks to everything it touches. The same thing goes for pine needles too.

These little tin stoves do work though. I like the hobo stove a lot as an emergency stove.
Because they hold the fuel in a pile and reflect the heat back into the fire they burn a lot of stuff that would just smolder or go out in a small open fire.

Some of them, like the one Oldsoldier describes, can be modified to burn other fuels.
If you put the intake air holes about half way up the can, fill the bottom with sand and fuel oil, and add a small wick to light, you have what is known as a Benghazi burner.