I have been wondering about this issue as well. My new coop is 12ft by 20 ft and I know it will take a lot of shavings to fill. Right now I just put down 3 bales of hay (not ideal, I know).
Shavings are $6.50 - $8.50 per bale here, but back when I used to board my horse at a training barn I saw that they get their shavings delivered loose by the truckload. That barn owner was a cheapskate, so I know it had to be pretty inexpensive. They would just drive in and dump them in this area by the barn and they would cover the pile up with a big tarp.
Now, the question is, where on earth do you find someone who sells wood shavings by the truckload? I would ask the old barn owner, but we definitely did not part on the best of terms...long, sad story and not worth going into.