I use shredded paper, fine shred and cut, and I use it because of the features that many wouldn't, and because I get it for nothing.
It's worth bearing in mind that a hen makes her nest on the ground and that means in earth and that if one has a strong enough nest box with a solid bottom is what I would use and have used in the past. Hens don't need soft and bouncy for their nest. What they need is something they can shape that will absorb some moisture and keep the shape the hen made.
Regarding other popular nest materials the important things are it shouldn't bring mites and pathogens to the nest and it shouldn't be dusty. Well managed second cut straw that's dust extracted is okay. Some wood shavings are okay if they are made from hardwood. Shredded cardboard (dust extracted) can work well.