I'm also new to the whole chicken thing but I settled on un-dyed natural pine chip mulch for both my coop and my run. I had a couple of reasons:
1. Cost. Pine bark mulch and shredded pine chip mulch are the cheapest things I can buy at Home Depot. I live in the city, so while I have plenty of suppliers to choose from a lot of them have jacked up prices as many people use sand/straw/pine mulch solely for landscaping and decorative purposes and will pay the premium on them.
2. Composting. I wanted something that would break down relatively well (small dry pieces of pine being scratched by chickens turn into even smaller pieces pretty quickly, the larger ones add some texture to the mix and break down more slowly) and be easy to scoop out of the coop when needed. I'm planning on using the Deep Litter method, which doesn't work well in pure sand (although yes, cleaning sand is easy). Straw is a pain to shovel/fork. Wood chips are easy to shovel, sweep, and otherwise move around and they compost decently. The decaying wood on the bottom layer of the run has the added benefit of drawing in some of the bugs that would otherwise be bothering my garden. The chickens love scratching and finding those little morsels!
3. Appearances/cleanliness. Straw to me looks way too messy outside a nest box and I don't love the look of sand in coops (but that's personal preference). Un-dyed mulch looks good to me, smells good (fresh pine, yum!), and if it gets tossed outside the run by excited chickens it blends right into the dirt (I'm planning on mulching the entire area around the coop anyway and using chicken-friendly potted plants to keep it looking good). It doesn't stick to chicken feet either! My soil is loamy clay and it doesn't drain so bare dirt isn't an option. It helps that I have a roofed run so the area stays relatively dry, which means I'm not as worried about drainage, although I did consider sand before I decided to roof the run and do deep litter.
I'll probably use straw only in my nest boxes, but we'll see how it goes.