Our stalls have sand and "ag-lime" base and then rubber mats. On top of the mats we use shavings and in our area we can get several different brands and types. I prefer the pine shavings that are more fine - closer to sawdust, because they are more absorbent. The other shavings are bigger curly cedar shavings that don't absorb as much. I usually buy "Pine Products" shavings.
There is a brand of shavings that I really like called "Devil's Tower", I think that have a great smell - strong pine and sort of eucalyptus aromatherapy smell. The problem is, the bags are closed with big metal staples and when I am bedding stalls I always worry that I or one of the kids will lose one of the staples and a horse will eat one or step on it.
We bed the back half of each stall and sweep the mats clean in the front half and put their hay there.
Each horse their own bathroom habits and I can walk into any stall and know what horse was in it based on where they pee and poop. I love the stallions, because they are neat freaks so their stalls are very easy to clean.
We have great straw in our area. Nice tight bales and the straw is very dry and shiny and almost looks chopped in short pieces even though it is pressed into bales and the smaller pieces make it easier to pick out stalls. I don't use it for bedding very often, but when I do, I still put shavings underneath to absorb the pee.
I've tried the pellets, I don't really like them because until they have broken down quite a bit I feel they are slippery and not very comfortable (according to the kids who decided to lay down in them and roll around to see if they were comfortable.)
Our co-op has bagged cardboard bedding that basically looks like brown cardboard chopped into tiny little pieces, but I've not tried it. I was a little skeptical about it though they claim people that have tried it love it.