Mine are on wheat straw a the moment, and they also get it in their hayracks at night time at the moment - certainly cheaper than hay!
I also try and have families together in one pen in the winter, reduces need to straw/mucking out and they can cuddle up and keep each other warm.
I know that some people use shavings/horse bedding as it is easier to muck out than straw, but not sure how this would work out financially.