Shavings can be a perfectly adequate substrate and has been used by many hamsters for years without problems however the suitability of any substrate material will depend on both yourself and the hamster(s) that will live on it. If you're prone to allergies then you may find that it's not the most suitable and as others have pointed out hamsters too can develop allergies to it even after having lived on it for a while.
Some people find that Carefresh can be a little dusty and the Natural one can have a rather strange smell but in the UK it can also work out fairly pricey depending on the size of your cage and how often you clean your hamster's cage. I was recentely given a 10L pack and it wouldn't have done my four cages so I had to mix it with Fitch.
As others have mentioned, Fitch is a very popular choice but the bale size can be restrictive for some people if space is limited as it will need to be stored in a damp free area. If you've got the space though a 20kg bale could last you several months. I go through a 20kg bag every 3-4 months with fortnightly cage cleans of my four permanant hamsters. Some people have reported an occasional issue with availability but I've always been able to get hold of it, however I do have a backup substrate in mind in case that happens.
The other substrate I've tried is Finacard, which is a little bit cheaper than Fitch and is made from small pieces of cardboard. It's softer than it sounds but my little Chinesey who tested it found that it wasn't as quite as good for her housekeeping and burrowing as Fitch but it's one I'd use if I couldn't get hold of the Fitch. Here's their website:
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