I used a flake of hay because its what I had and it fit snugly into the covered litter box I am using as a nest box. I was a little afraid they'd try to eat it instead but so far, so good.
I noticed that when you get a new "set" of chickens, the first one to lay will lay in a random box, and the others see it, and know that that is where the eggs go.
I would think it would be an instinctive behavior for multiple hens to use the same nest. If one goes broody, she will then be sitting on everyone's eggs, thus insuring the survival of every individual hen's line. Sort of a survival of the fittest kind of thing; multiple layers and occasional single broodies keep the flock going, by hatching not only their own few "children" but all the others as well.
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I use both pine shavings and straw. I also dust their nests with a little DE.
I like using both because the pine shavings make a nice padding/bedding and then the straw they weave into a traditional nest and the eggs stay in the "basket" part of the nest.
I heard about this phenomenon before I built my coop, so I only built one nestbox that is a little big. It's in the darkest side of the coop, and furthest away from the heater. they don't sleep in it at all. Im so proud!