Take great care with bags of free shavings from sawmills. They used to use this at the riding school my ned lived at before I moved him to somewhere decent. Sawmill shavings are the useless dust and crap that they can't use anywhere else so they give it away as it saves them having to dispose of it. If you put a bag of it in a stable, every single surface in the stable gets covered in a thin film of fine, fine dust. Water, feed, floor, wood, everything. It would cover your horses lungs, eyes, coat, mouth in exactly the same way. In addition, you will find chunks of splintery off cuts in the dusty muck and all sorts of other bits and bobs you don't want within a mile of a cherished horse. Stick with a dust extracted, bagged product. It's worth it long term. Even the cheapest dust extracted are better than free sawmill dust.
I agree entirely. Also some sawmills get treated wood shavings mixed up with natural shavings. Some of the treated wood shavings could potentially be poisonous to your horse. Not worth the risk.
would you consider shredded paper? over here you can buy it by the sac from the archivist and only costs £1 a bag. but its quite messy for the yard and you need to consider your muck heap to as i dont know if it rots down well.
Shavings from the saw mills are going to be dustier than, for example Hunters, however the ones I was talking about are to some degree dust extracted. I know someone in Essex sells them for about £1 for a small bag (I think about 4 bags = 1 bag of Hunters) and they are mixed wood (i.e. not completely white). I think it is probably about the same quality as the cheapest no-name shavings but obviously you would need to check out the quality.
I have also heard that paper is available from local courts - they shred lots of non-confidential documents and are happy for people to take it away. It is a nightmare to muck out though!