Pine shavings are probably the most convenient and practical bedding for the chickens, but beware of using pine shavings as compost for your garden; they are not an ideal additive (I believe because they take so long to decompose and something to do with the chemical component of the pine shavings itself).
Found this out from my husband (Master Gardener) after I got the grand idea that my horse's old bedding (was using pine at the time) would be a great contribution to his garden.
I've since switched to using straw and pine shavings -- we get the absorbency of the pine with the warmth and "bed" of the straw (my old horse likes to curl up in it when it's cold, so do my goats and our dogs), and he gets the straw for his garden (we just have to burn the underlayer of used pine shavings).
Rice hulls and this shredded hemp bedding are wonderfully absorbent, decompose well, can be used as garden compost, and are not dusty (a big problem with the pine and some really poor quality straw) -- but it's impossible to get it here, and the cost is prohibitive.
I may not know how chickens would fare on it -- but after a lifetime around horses (who are picky in their requirements with everything) I do know my bedding materials and the pratfalls of disposing of them!
*Forgot to add: there is a commercial bedding made out of corn cobs that is almost as good (imho) as the rice hulls and hemp, and at least around here is less expensive than pine shavings. Some horses (including mine

) like to nibble at it though, so while it's good stuff I don't use it. I don't know if chickens, goats, or other critters would eat the stuff (some horses don't either).