Always in the past i have used straw for nest boxes, and pine shavings or sawdust for the rest of the coop. Most people use what ever is available for the lowest price at their local feed/farm store.
It was recently recomended to me to use sand rather than sawdust, haven't decided weather or not to try that just yet.
The biggest recomendation I can make is that when you are buying your shavings/dust/sand you keep in mind how much you will use at a time and how much space you have for the storage of it, because when shavings and sawdust get damp they mildew and mold, and that makes them usless as bedding.