There is a pretty big difference. Shavings are a lot messier and more difficult if you want to keep them in a contained area. Pellets make less of a mess. When they get wet, they just turn to saw dust. Shavings, on the other hand, are probably more "comfortable" for the chickens. I guess it depends on your specific need and where/how you are going to use them. I have a lionhead rabbit that I have to use pellets for because shavings get stuck all in his fur. I use shavings for my chicken's nest box because Its nice and soft for them to lay on and provides more cushion for the egg once it's layed. Have you considered sand at all? That's the only thing I would ever use for the run. It's easy to clean, provides grit for the chickens, and dries out easily if it rains/gets wet. I'm not sure how well it would work in a coop though.