Depends where you are located?- if you are in the South East, ie Surrey, Sussex, Kent way then Holley woodshavings are fairly competitive. Not sure re other areas of the country.
Hunter woodshavings (made by Finnforest) may be an option too and also gd quality.
Bedmax seem to price cheaper as well.
TBH theres no such thing as cheap shavings at the mo even when you are buying in bulk- for that reason I've gone onto shredded cardboard as much much cheaper esp in bulk!
Lots of great advice, thanks. At the mo I'm paying £100 for 9tonnes of very good qulaity sawdust loose from the sawmills, lasts about 4 months for 5 horses (ie approx £1 per week per horse)! Now they are all closing cos of the credit crunch and not a lot of building demand. Nightmare! Keep the suggestions coming please.