You can use either or. It can be cheaper to do big chunky pine as sometimes you can get it free from the city, but it's usually moist and it needs to dry out. The pine shavings are easy to layer if you're interested in the deep-litter method, but hard to contain and the birds will track it everywhere. Pros and cons!
I started with shavings but now use whatever yard debris I have and constantly top it off with new stuff. They like to dig around in it and turn it regularly to keep it clean.