How I got my birds to eat pellets?  I followed the usual instructions
given in pellet containers and avian magazines:

I tried some of the tricks in the Veggies page (like pretending to eat
pellets to show they're edible, or offering them in my fingers), and
always mixed some pellets in with the seed in the food bowl.  I
watched to see when/if the birds actually swallowed the pellets they
tried (if they don't, it means they think the pellets are just
inedible chew toys).  In the meantime, I kept them on seed with some
extra pellets mixed in, and I only switched them over to pure pellets
once I was satisfied they accepted pellets as food.  The switching
over was done gradually, too: slowly changing the pellet/seed ratio
and making certain the bird was still eating the pellets.  I think I
did reduce the amount of seed given daily a small bit during the whole
process, just to get the birds somewhat hungry and eager to try new
foods.  (Be careful with that technique; check with your vet first!)

I don't think pellets are perfect, but the experts say they're better
than pure seed.  (Note: my lovebird has a digestive condition right 
now that necessitates he gets calories, AND he started really
ignoring pellets, so under some circumstances it may be better to
let the bird eat what it wants to.)

Note 2006: Recently, it has come to my attention that too many dry
pellets are NOT good for desert birds such as budgies and cockatiels.
It's said that it can cause kidney failure or crop problems, as these
birds are desert birds and won't know to consume enough water with the
dry pellets. So, give your birds a mixture of food, give them fresh,
moist foods, and don't rely 100% on any one type, including pellets.

Remember, this is what worked for me.  Your birds will be different.
Read up on other techniques from the pellet manufacturers, and in
places like Bird Talk magazine.