Couldn't agree more. I always go with the pine shavings underneath, and straw on top. I have found that the red wigglers like the pine shavings too, which is a nice bonus.I like it dry inside, so go with the bagged kiln dried large shavings(white bag at TSC).
Even those can get damp with the humidity here, especially during thaws.
I do toss in some straw once in a while, but very little as it is not absorbent but can add some insulative properties.