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My favorite is sand. You can clean it with a cat litter shovel, no need to change it all. This makes it very easy and almost no cost to clean cages - I do it with the birds still in the cage. And their cage becomes one big dust bath :) Also, it is natural for them and I read something somewhere about sand having anti bacterial properties.
I also have buttons on wood chips, but this is in my aviary, and only because I'm afraid the budgies in there will eat the sand, should I use that.