I was in the same boat. Since I have a wood shop, wood shavings was the obvious choice. After a few months it got dusty and stinky in the house. I decided to try sand based on something I read here. In my situation, no comparison. Almost no dust, no smell, easy to maintain. A couple minutes a day with a kitty litter scooper and the floor is clean, and I have a bucket of henpoo for the garden. As for pea gravel, even if I try real hard I can't imagine that being anything but a headache. No absorption capability and no good way to clean it up.
Something to keep in mind is that quality, purchased wood shavings are actually kiln dried, not just swept up from a shop. You would also think that all shavings are similar, but as it happens I'm really particular about which shavings I use and am always unhappy if I have to substitute in a different brand. (This is true no matter which animals I have bedded on it.)