I always use straw it keeps the eggs clean, cushions them and, I think anyway, keeps them from freezing longer. While there may be a problem with pesticides in the straw, it probably isn't any worse than what is in the chicken feed nor whatever is mixed with the ink if you're using shredded paper. I stay away from using pine shavings because that is what is used on the floor of the coop and I think it confuses the birds on where they are supposed to lay--they like to make nice cozy nests in the straw. Hay would be ok but the nesting material, along with everything else, goes on the garden and I don't want to introduce any more weed seeds than necessary. No matter what you use, some will get kicked out--they also kick out the golf balls I use in there for "bait"--but it all goes on the garden anyway so what the heck. Besides, once the nest gets low I refill it so the straw stays clean.