I also use Stall Dry, and DE in the coop to keep things dry and less smelly. The deep litter method is a very good idea. It works well for most people.
It depends on a couple on things. Like how wet it will get, and how dirty it becomes. Hay is not a good option normally. It tends to mold very quickly, and mold can kill chickens fairly fast. Straw is a better option, and so are wood shavings. I use straw in my coop, and sand in the run. I live...