I x2 the WalMart suggestion. Not everybody lives in the country and so has a nearby TSC, but WalMart carries pine for very nearly as cheap, though it's a little smaller cut. Still, not dusty at all, and no special trip just for shavings!
dfinitely shop around. we pay $5 at shoppers supply for a huge square bundle of wood shavings. If I had a hampster I would still purchase this size as the smaller cube in the pet section at the same store with the same material costs more...funny huh? Shop around, it pays off.