I use pine shavings in the coop, but in my modified version of the "deep litter method" I clean it out every day so it stays very dry. I have a small coop, though, and since I use a cat litter scoop and whisk broom I found hay/straw too hard to clean. You can't just pick up the piles without a bunch of hay!
I like shavings because I can easily tell when they are wet or dirty. Too hard to tell with hay.
I have also had some batches of hay that were very dusty/dirty, and I just never knew what I was going to get until I opened the bale. I didn't want my girls breathing too much funk in the coop.