You can use whatever you like. Many people use straw.
Straw Pro: easy to get, usually
chickens love scratching through it to find seeds
sort of easy to muck out and compost
Con: gets wet fast and stays wet
hard to dry out once wet
breeds all sorts of nastyness when wet
hard to keep dry
compacts easily, forming a huge nasty mass
you will need to clean coop out frequently
smell
Wood ShavingsPro: also easy to get
chickens love to make little hollows to cuddle in
easy to shovel out when cleaning coop
Usually stays dry
Dries fast once wet
**DEEEP LITTER METHOD** rocks
You will not need to replace frequently
keeps smell down
Con:
Can get a bit dusty when shoveling out
takes time to compost- years in some cases
So, there you go.