Mine are plastic 'egg crates' on a shelf in a row, and there's a feed bag folded on the bottom, with shavings, straw, or hay on top. usually it's shavings, but it depends on what I have available.
The birds rearrange everything, and work to remove the bedding, so more goes in as they kick it out.
I have hay in mine. I need to put a couple more golf balls in; only have one in one of 3 nests.
I use shredded paper (from our shredder) and top with either our local grass (green panic) or the dropped grass of Timothy hay from our horses bales, or a 1,2,3 combo.
I like the shredded paper because it pads and shapes nicely, grass gives it a nice berm and i can afford to replace often. Everything composts too.
REALLY helps with the poop smell and muck situation. I recommend looking for a compost tumbler on craigslist to start you off. I keep mine in their run and scrape poop daily from the boards, add kitchen greens, coffee grinds, egg shells, leaves... no meat or dairy or oils.I like all of this! hah! I definitely would love to start a compost. Seems like a waste not to!