I wish I had a cheap source of wood pellets around here.

Don't use kitty litter, unless its a pelleted paper like "Yesterdays News". That's actually one of the best rat substrates out there for odor control and lack of dust.

Any pelleted bedding is good. I'm currently using "Woody Pet" which is processed wood pellets. It's fairly cheap, about $5.50 for 35 lbs or so.

I've also used alfalfa pellets, $9 for 50 lbs, but they have their own rather strong hay smell.