I have found shavings fine, the type you get from feed mills, kiln dried. Now cedar is a definite no, the fumes aren't good. I also use wood pellet bedding it's mainly used for horses but i find there good.
Some use straw(hate the stuff, too pokey and costly for me) hay(nope that gets fed to horses, again too costly and i think messy)
I know sand gets presented as an option but don't have that so i can offer no input.
We use hay. It seems to work well although when they get to splashing around their water it stinks bad. Probably sounds obvious but don't use shredded newspaper...I was dumb enough to try this, they ate it and good thing we noticed them trying to get something down their throats. I'm lucky they didn't choke on it. :-/
around here I kind of did a visual search of others coops and hay seems to be the predominate bedding. Mostly cause most ranchers and chicken keepers have other farm animals ie..horses. A couple did use pine shavings but they have to get like 15 bags and it is sooo expensive than hay. I get a bale for 18 bills and it could easily go for two cleanings. I used the whole thing this first time and I think my hay bed IN the coop is around 18 in. lol. Way too much. but it is easy to clean and compostable. Also, the chicks eat the seed heads and green leafy stuff in the hay. I think it is a timothy and alfalfa mix. Smells good, i dunno. anyway, with the low humidity and high winds. Sand would suck. Gives a new meaning to dirt farming. Do you guys and gals use your old bedding in garden beds and such? Do you use it right away or leave it in a composting pile for awhile? Ofcourse I only have 6 hens and a couple of turkeys. Not as much as some of you guys.
How much would you say wood pellets cost and for how much of them? We are using straw now because it's cheap $4 a bale but it gets gross FAST and with seven ducks in the brooder, its big enough that it's a giant pain to clean out every few days. Would wood pellets last a little longer?
I'm not sure about wood pellets, but those pine pellet thinks, natures bedding, cost about 4.50 for a 40 lb bag. We use 1 bag in a 4 foot by 4 foot brooder (estimate of how much you'd use) although ours is a little thicker as well. I have six ducks in my brooder right now, and they don't even get the whole thing, they share part of it with a divider for 6 chicks, and I change it every Friday and Tuesday. For our chicks we don't have to clean it out nearly as often, but it's just that the ducks get their water everywhere and it absorbs it and then it's all fluffy and I'm paranoid about mold or them getting sick, so we clean it out often enough.