We use a pelleted straw product called Streufex. I have horrible allergies and have trouble with all shavings, can't use straw, etc. Streufex up here is a little more expensive as it's trucked up from the US. The straw is baked and cleaned to remove all the allergens (OK -- it's a little more complex than that!) before it's pelletized.
Streifex is a little darker than shavings, but it has a bit of an orangey smell to it -- our dank, nasty old dairy barn was completely deodorized once the bags were stored in the barn! Plus the Streufex is like kitty litter to muck out -- the pee spot clumps together and gets picked out and then just the solids. I have the worlds smallest manure pile after 2 years!
This summer we have bedded the Tb and QH on a 2:1 Streufex to large flake shavings mix, the Stbd rescue on all shavings (he's a pig!), and the two "B" size mini's get 1/2 bag Streufex each in their smaller pens. We found that because of the excessive amount of rain in Ontario this summer our bank barn was very damp, and the Streufex tended to clump in the horses hooves. Cutting it in the big horse stalls with shavings has reduced the moisture waaay down, and kept our costs down from using up extra Streufex just for the dampness. FYI -- Streufex doesn't need to be dampened -- the horses hooves just crush it pretty quick. It doesn't puff up so it isn't an issue if they "snack" on it -- most of them will try a few pellets and then give up in disgust!