Transporting heat costs money ,especially through the cold outside.The ordinary boiler could freeze and burst if not in use.The standard chimney is not used.Instead they use a short pipe out of a zinc coated steel box covering the boiler.That could cause pollution of the air that is supposed to come freshly in to the house /the window.10% more loss of energy is guaranteed with an outside boiler compared to the same model inside.You could buy a condensing boiler,they operate independently from the air in the room,getting the air that they need via a pipe from the outside.So no smell would occur in the house.There are wall hanging ones and free standing types.
All boilers that I have seen standing outside have a pretty bad energy rating.To compare the different types check www.sedbuk.com
If you buy a new one than go for the best(not necessary the most expensive),boilers will last for at least 10 years eating up your money all the time.And make sure it is correctly sized,in most households they are over dimensioned.