Cedar shavings should be avoided at all costs. Cedar has been shown in studies to be hazardous, causing chronic respiratory conditions in mammals. Some animals are even allergic to cedar, and can develop severe skin rashes or more severe respiratory conditions. The problem with cedar shavings stems mostly from the oils that give it its aromatic scent. Unfortunately, it is this aroma that makes cedar so inviting as a bedding, as it covers up ammonia odors well.
Like cedar shavings, pine shavings are also believed to be hazardous to the health of small mammals, though this is more widely disputed. Like cedar, pine is a soft wood whose oils give it an aromatic scent. Although there is still some debate as to how dangerous pine really is, many serious owners of small mammals such as guinea pigs, rats, mice and the like will recommend against its use. If forced to choose between pine and cedar, pine is definitely the better choice, but you really should avoid both if at all possible.
Aspen shavings are completely safe as bedding, but are much more expensive than cedar or pine, if you can find them at all. Another problem with aspen is that it is a hardwood, and hence has no natural oils to give it a strong scent. This means that aspen doesn't function too well for odor control, making it necessary to change the bedding more often.
A popular alternative to wood shavings is CareFRESH, which is made from wood pulp fibers that are too short to be made in to paper. The fibers are processed to form what looks like shredded egg cartons. CareFRESH's greatest strength is its odor-control: like most paper-based beddings, CareFRESH inhibits the formation of ammonia.
Crown Animal Bedding consists of recycled newspaper that is compressed into pellet form. Like CareFRESH, it is excellent at odor control, but it's dense pellets don't make it ideal as the sole bedding in the cage. Crown works best when used in combination with another bedding, serving as the odor control agent underneath a layer of softer bedding, such as timothy hay.
Another recycled paper, pelleted bedding is Yesterday's News. It comes in regular pellets and soft texture pellets, and contains an odor-controlling agent.
Corn cob bedding is also an alternative, though it is more prone to growing mold than other beddings.
Straw is completely unsuitable as bedding. It does not absorb urine, and the hard stalks can cause serious injuries.
Timothy hay is arguably the best bedding for guinea pigs. In additional to being an essential food source, guinea pigs will tunnel through it, make "nests" in it for sleeping and play with it. Timothy also smells nice when fresh. It is best to buy hay directly from a feed and garden store or a farmer, as the commercially packaged hay that is sold in pet stores has been dried out to prevent molding on the shelf. It is harder, drier and less suitable as bedding than fresh hay.
The only problem with hay as beeding is that it does not control odors, and molds very quickly when it gets wet or soiled. Hence, it is best to use hay on top of another form of bedding, such as Crown or CareFRESH, for odor control. The hay will have to be changed every one or two days, but the absorbent base can last a week or more.
Timothy hay is more expensive than most other grass hays because it is difficult to grow, and a large portion of the hay grown in the Pacific Northwest is actually shipped to Japan. If bought by the bale, however, it is very cost effective: in the US, most bales of hay run between $8 and $15 depending on where you live, and will easily last several months. If you don't have a local supplier for timothy hay, you can purchase it from the Oxbow Hay Company. Emily Rocke writes: "...several people (including me) have had good luck with the Oxbow Hay Company in Nebraska, which ships UPS. Three 15 oz bags of Timothy costs $11.55, including shipping and handling. You can call 800-249-0366 to order or to ask for more information. This is a family business and the number goes into their home, so you may get an answering machine sometimes, even during office hours. It helps if you leave numbers where you can be reached both by day and in the evening." The Oxbow Hay company will even set up "schedules" of shipments for you.