I use small wood shavings that I get from the local farm store. The bundles are around 4 - 5$ but it lasts quite some time. It depends on how large an area you are wanting to deep litter... My coop is 6 x 8 and a single bundle lasts me a month or more before having to add more shavings. I like the shavings because you can stir it up rather easily.... takes less than 5 minutes to stir up my little coop.
Do you have any saw mills around? I buy a whole pickup load of sawdust for $15. There is all types of wood in the sawdust, including cedar which smells nice, but not overwhelming because other types of wood is there too. It works great!