If your goal is bug control and not eggs and meat (I hear guinea eggs/meat are good to eat but don't know anyone that does) then I would go with guineas. Some folks also use ducks.
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Here's a great reference: Henderson's Handy Dandy Chicken Chart at www.Ithaca.edu/staff/jhenderson/chooks/chooks.HTML
You will note it also lists whether a particular breed does well in confinement. Those that are not so inclined might be some for you to review.
My dock is mixed, all different breeds, large fowl and bantam, plus turkeys, ducks and geese. They all range freely and return to the coop at night. Sqme coop. (Well, the ducks and one goose stay out all night by the stock tank and kiddie pools.)
I am wanting to get some free range chickens in order to keep pests away around my house mainly and also in the yard. We have six acres and I was thinking I can build a coop only (no run) and let them free range and hopefully come in at night. So, my questions are this. Is their a particular breed that tends to stay close to the house and not roam as much? Should I leave them in the coop/pen for a month or so so they know that is their home?