Hi, haven't tried clay based cat litter but everyone was talking about pellets being good for keeping the smell down so I went out and bought some pine pellets that were meant as cat litter. It worked very well, had nothing in it but pine but cost a fortune, about $25 cdn for the bag.
I went back to the forum to see what other people were paying and it was something like $6-7 a bag for something they referred to as horse pellets i.e. I think used in horse stalls. My local feed store when asked for that (and told that I wanted it for chicks) sold me stove pellets for $7 a bag. I remembered one person saying don't use stove pellets but not why and as they were about 4 weeks old and soon to leave the brooder I used it... and surprise, surprise it wasn't as good as the expensive stuff but still acceptable.
The above info was for laying birds, now that I think of it but not sure why there would be a difference. The horse pellets would probably work but not if they got wet at all.