I use pine (my coop is small, 8 x 4).
I have heard sand inside the coop can really start to stink even when scooped for poop; it doesn't neutralize the odors and can harbor moisture (which would be bad inside due to ammonia).
We'll be adding sweet pdz to the hen-house sand - I've heard that helps quite a bit . We used it in our brooder and also in the run sand and it works really well.