Pine shavings work really well. It depends on what your plan is to dispose of them. For me, with a city yard, I rake the shavings into the grass and the assimilate into the grass pretty quickly. Straw doesn't break down quickly so it wouldn't work for me. I think shavings are best.
On a related note, getting shavings for free is pretty easy. Any small manufacturer of a wood product pays to dump them rather than sell them. I go to a window shutter manufacturer and he fills my trashcan up with shavings from birch, bass, oak wood. Of course, never reuse anything made from walnut (due to the corrosive oil in the grains) but walnut is a pretty rare wood species today.
If there isn't a supply like this near you, I suppose that wood chips would work also and arborists (professional tree cutters) seem to be everywhere.
Thanks so much, I get to pick them up tomorrow and just trying to get everything ready.