I have horses, so have multiple types of hay as well as shavings, and have tried many in the bird nest boxes. My favorites are pine shavings and grass hay, in fact I tend to use a combination of both - bottom layer pine shavings for padding, and layer of grass hay (molds to their little round bodies) on top - although using both isn't at all necessary. Oat and forage (i.e. wheat, barley, etc) hay is not good as it has grain which attracts rodents (although the girls love a little oat hay or alfalfa hay to rummage through as a treat!). Straw - just isn't my preference for anything - bird or horse bedding - to me it's messy and bulky - although if it's the only thing you have access too that's fine.