Whatever you can get the little buggars to lay in...
We use straw, My mother used shredded paper, lots of folks use pine shavings, some use 'mats of some sort'. My mother told me to have something different from the floor material, so they don't make nests on the floor. We have pine shavings on the floor and had 45 acres of barley, so I went with straw in mine. They seem to like it.