Right now mine is just dirt and a little sand in one part but I've tried pine shavings, I liked that because it stayed fairly clean, dry, warm and looks nice. They didn't because they couldn't dig for bugs. Plus they kicked them out of the run (we have a dog kennel so the holes are big). The dirt gets gross in rain. My next plan is for the new coop and run we're building is to use deep litter in it. Basically wood chips and leaves, grass clippingd, etc. Chips not shavings because they break down faster with the different particle sizes. I initially heard 6 inches deep total, 3 inches of chips and 3 inches of leaves and stuff, but then I heard that's not really deep enough and to do one foot (12 inches) deep so 6 inches each. I think I'll go with that or somewhere in between. But basically the idea is it mixes with the poop and composts right in the run, making great dirt for gardening eventually for you, while also providing a healthy kind of environment, bugs and life comes eventually, and also give them something to do foraging for bugs. You just add more dry stuff on top when t starts to smell. Obviously for winter there might not be any bugs or composting but it would still be a nice, soft, clean environment for them and I imagine the heat from the composting action would help to keep their feet warm.
Inside the coop I just use deep pine shavings