I've heard alot of good about wood pellets through reading online etc. We had shaving up till a few months ago and switched to straw.
I've also read a lot about peat? It's apparently very absorbant and easy to muck out, and i've witnessed a peat bed myself, never mucked one out, i was told it's easy but to be honest, wouldn't trust the person that said that, so if anyone else has experience of this, i would be curious to know more myself!
Paper is good, i've heard. OH has experience with it. We looked into it as an alternative to shavings but it was going to work it too costly for a smaller bale, just wasn't worth it for us.