I have and do use both... and I have used shavings. When I used shavings (pine) was the only time I had a death from a chick eatting the little bits. So I use hay or straw... I prefer hay... it is longer, softer, and harder for them to swallow. The straw seems to break up into finer bits.
I did used to sift the pine after those deaths... but that can get old fast when I am hatching almost back to back throughout most the year.
That is my current brood in my avatar... and that is hay. 3 days old... no issues.
Well I have horses so I have just always used hay for all my chicks bedding. I have never had any problems with using hay. My hen and her new baby chicks are outside snuggled in a hay bed now. It is good stuff.
I personally would not use either. I know that both can get moldy pretty easily if they get wet. I am going to try wood pellets in the brooder this year. I saw them in the brooders at a feed store yesterday and it looks like they will work great. I bought several bags since they were on sale for a very good price. I do have a bag of wood shavings sitting ready in the garage if I find a reason to switch quickly.
When does it get wet? I change mine about every 4-5 days depending on the amount of chicks. I don't know what these wood pellets look like but the word "pellet" concerns me. How big or small are they?
As long as you are changing it frequently you should not have problems with mold. It could get wet from spilled water and from their droppings.
The pellets are wood stove pellets. There are no additives. It is just compressed wood. I have been told from multiple sources that the only difference between bedding pellets and wood stove pellets is that the wood stove pellets are compressed more than bedding pellets.