You can use hay but it needs to changed out often as it gets wet and pooped on because it moulders and starts to smell ammonia-y. Kiln dried pine shavings are good and today I read in my new hatching and brooding book by Gail Damerow that you can use the stuff you buy at pet stores for small animal cages. I hadn't thought of that. Oh, and something else I like the idea of is putting down cloth baby diapers. When they're dirty, you just launder them. Probably helps cut down on costs in the long run...
