Aspen Shavings
pros: easy to clean, light weight, holds humidity fairly well.
cons: it's susceptible to mold

Cypress Mulch
pros: fairly easy to clean, holds moisture really well, mold resistant
Cons: can be difficult to find where it is finely shredded.
Note: I use every day cypress much found at my local garden supply store works well for me but I'm also careful when feeding to try and prevent them from swallowing a large piece

there is also eco earth, which works as well as the mulch but can get dusty if you don't mist it every so often.

unprinted news paper is also popular