I use cypress mulch and occasionally put damp sphagnum moss in the hides for extra humidity. I have a glass terrarium setup, so humidity is really important.

I think it all comes down to whether you're using a tank, tub or PVC setup and whether you need a humidity boost... and also whether aesthetics are important to you. So paper towels, newspaper and aspen are great in tubs and PVC where humidity isn't a huge concern, but cypress mulch and eco earth/coco husk are really useful in tanks where you need all the help you can get with humidity. It's also a matter of personal choice whether you'd rather throw everything out and clean quickly (newspaper/paper towels) or spot clean and change out substrate weekly/monthly.

tl;dr it's your personal choice, like everyone else said