I've been doing some research on using pine or cedar shavings and from what I've learned, both are very harmful to pets. They are toxic... and can cause respiratory problems for all types of animals. It's sold in bales at all pet stores and farm stores and when I asked why they sell it if it's so harmful the answer was the same reason the sell cigarrettes and other crap that isn't good. Its cheap and it sells. I've been told by reputable and educated sources that using Aspen bedding is best in place of hay if you don't want to use hay. Toxins from pine can even be absorbed into the animals body through thier skin touching it.
Just wanted to put this info out there if anyone is interested in investigating this on their own. I for one am not taking any chances and will be using only hay and Aspen shavings.