I use straw in the run to cover up the ground and prevent the girls sloshing around in mud up to their bellies when it rains. I live in western WA so it rains a LOT. I have a big run and usually only have to put in a new bale of straw every month or so. The straw bales I get from my local feed store are HUGE (or at least they seem huge to me when I try to load them up in the back of my little Ford Focus ZX3 and then unload it and haul it to the coop by myself) and only cost $8 each. Not sure if that's expensive or not but it's near by and since I only need one a month, I don't sweat it.
I have to admit, I hadn't even thought about putting any in their coop. It's a good size structure (probably about 8 x 7 x 4) but narrow, leaving only a foot and a half of space in front of their nest boxes. It's hard to get into also, since its elevated off the ground about 2 feet, has a fairly narrow doorway and a rickety little chicken-size ramp to get in. I wonder if I should bother putting any straw or bedding in there? I guess as it gets colder at night, I'll weigh that option again.