Pine shavings, either large or small, both work well. The larger ones do tend to last longer...the smaller shavings get pulverized quicker.
I tried straw ONCE only...it worked great but to my horror...field mice got in and had nested underneath so that what I thought was the broody's leg when I was checking for eggs one afternoon was mice!
I don't know who scared who worse, but I took that straw out and never used it again!
I can at least see what's in the shavings better, LOL.
That would be the last time I used straw too! Yikes! I had a big mouse problem in my coop, so I had to hardware cloth everything and add a floor to the chicken tractor. No mouse can penetrate my coop!
My favorite is long leaf pine needles or other long pine straw. What I usually end up using though is Bermuda hay. This last time I mixed hay and shavings together as an experiment. Straight shavings I did not care for. Too easy for eggs to get lost. Straw works well too.
I use plastic dish pans for my nest boxes, easy to clean and some what giving for eggs hitting them. One of my hens will not tolerate anything in the nest box and will spends hours cleaning it out of straw, shavings, sawdust, you name it, she gets it out before she'll lay.