For the coop floor, I like a plain smooth-ish wood panel if the coop is a design that is easy to blast out with the hose or pine shavings if it's something I'll be sweeping out to clean. I like smaller coops, big enough for the birds roost comfortably and hold a few nest boxes and not much else.
For the outdoor run, I've had the best success with plain wood chips for avoiding mud and mess.
For nest boxes, I've used pine shavings, hay, and straw, and I liked hay the best, but it really wasn't a big performance difference overall. I've used shreds from my paper shredder in a pinch, it worked I guess but I wouldn't use it on a regular basis. Nest boxes aren't usually used for roosting, for overnight roosts most birds will choose a high perch over a low platform, but there are exceptions to every "rule".