I'm using cedar or pine shavings. I honestly don't know which one it is but thanks to a awesome BYC member I've now learned that cedar is a no-no so I'll be looking into that when I run to town later. I'm going to be looking into sand though.
Based on all that I have read here and on other sites, we chose to go with sand. First few days you have to cover it with paper towel or newspaper however after a few days you can slowly remove the paper piece by piece until the sand is uncovered. It is great for absorbtion, dries quickly, absorbs and holds a nice warm heat and is easily cleaned and it provides grit and the little dirt baths are so fun too! Very happy with it so far!