I've gone through several and here are my thoughts.
Aspen Shavings - Didn't like these personally. They worked well enough, but they had a tendency to go everywhere when changing the substrate and setting up a new tub. Very cheap and readily available in most locations.
Cypress Mulch - I have most my animals on this now. I love the more natural feel of it, it doesn't float/drift everywhere when changing it out. It also hold humidity better than anything I've used. A very big benefit here in Utah where I struggle to keep any sort of humidity for long. This might be harder to find in your area or might be seasonal. I've been slowly working through 5 bags of mulch that I custom ordered through Ace Hardware.
Shipping Paper/Newspaper - I have a couple of animals still on this. It's cheap (probably free if you or someone you know takes the paper), readily available. Some people experience some of the ink rubbing off on animals, but I never had a problem with it. It is really annoying when your animals tend to spend 98% of their time UNDER the paper, defeating the purpose of it. I mainly switched to this to avoid the chance of my animals swallowing substrate while eating in their tubs, but after a lot of research and talking to other breeders. Most feed directly on loose substrate anyways because the risks are pretty low.
There you have it! My take on the 3 substrates I've tried. Hope its helpful.
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