I use the vertical hay boxes from ForCHINate Chins, which are awesome - but since they are attached to the side of the cage, the pieces end up all over my floor. I usually have to pick most of this up by hand since I have a crappy Shop Vac and my regular vacuum isn't meant for hay.
Best thing I've used is a 6-sided box (bottom, top, 4 sides) with the front side at 1/2 height and the top at 1/2 size so it makes a "hole" in the box they cannot climb into, but can pull hay out of. It can sit on the bottom of the cage so it doesn't get on my floor, instead on the floor of the cage, which is fine by me - much easier to pick up.