I have been using straw until now and for me it was cheap to get a big bale (costs 2 jars of home-produced honey
), I could transport in my trailer home and we could handle it between two of us. However straw disadvantages: usually only big bales available (either need delivered or you will need trailer), and it gets very heavy to muck out when thouroughly wet and in the shed for a few weeks. It also takes ages to compost and you will need a heap near the shed. Ok though if you muck out by tractor.
Wood shavings will take even longer to compost than straw, and unless you have a sawmill nearby and can go an collect yourself the bagged up stuff is probably quite expensive. Not sure how well they soak up urine though...
I am now switching to Hemp straw bedding (Hemcore), because it is easier to muck out and will compost a lot quicker than straw. Goats eat a few bits at the start, but won't really bother with it. I really like it - BUT it is seriously expensive. As I have carpal tunnel syndrome in both wrists and also un-operable issues with my knees, I need to make my life easier around the goats....
So if money is tight I would stay with straw rather than wood shavings and enlist the services of a very fit and willing volunteer...