I'm not in super cold, but wet (Pacific Northwest), and I can tell you I HATED using pellets when I tried them. They turned to mucky sawdust in no time, and it was miserable to clean out.
I hate straw too. Difficult to clean and always goes moldy in my climate.
I really like pine shavings. They stay nice, can handle a bit of damp, and hold down the smell (the carbon in the pine), don't mold, and overall make excellent compost.
I'm not sure if you are working with a floor or a coop raised bottom (vs walking into your coop with litter on floor or having a raised coop with a bottom). I have raised coops with a floor bottom. To make deep litter easy to clean, I simply cut up my feed bags and use them for liners. I lay that down, then put the pine shavings on top. Roll up like a burrito, pull, and the whole thing comes out like a whoosh.
If you are using flooring, you'll have to shovel...but the pine shavings are still a lot nicer than the straw, and I found much better than the yucky pellets.
But it will depend on your set up and climate. Just my experiences in my wet northwest.
LofMc
