I've used pine chips or shredded aspen in the past and recently tried some pine pellets that were marketed for horse bedding. I really didn't like them all that much. They were really good at keeping the smell down, but they seemed to turn into powder really fast and didn't keep their pellet shape for very long. When that happened they got dusty and when the rats would scratch through their litter the dust would fly up and settle on everything. It was particularly bad when I dumped the tubs on cleaning day. Dust would fly everywhere. Also, the rat pinkies didn't seem to do very well on it, they were always coated with dust and I did seem to lose more then usual. I don't think the rats liked it as much either because they couldn't tunnel through it. They seemed to play more when they were on shredded aspen. It was more expensive then the bales of shredded aspen I usually buy which usually cost me about $3.99 for a 50lb bale. The pellets were about 7-8 bucks for a 30 lb bag and didn't cover as many tubs. Perhaps I just got the wrong kind of pellets, but I'll be going back to shredded aspen again.
Mark