I suppose I should answer my own question really!
I don't use shavings, as I always seem to find them very dusty, and they make me sneeze and cough. I'm currently using megazorb, as I think it's nice and soft, and it also absorbs well, and is always warm. It also lasts for quite a while, as I currently have 5 hamsters. I'm lucky, I suppose, because I've never had a bag of it that smells bad.