I used to use pine shavings, long long ago. Then I switched to carefresh. A quick note - CareFresh is TERRIBLE. A 100% TERRIBLE. It is dusty, dirty, it messes with a rodent's delicate respiratory system, PLUS animals will eat it. I know first hand of a rat who choked severely on the grey CareFresh - she did not die, but she was in quite a bit of pain for awhile. I also know a chinchilla who LOVES to eat carefresh.
I used Kaytee SoftSorbent for awhile (the plain kind, do NOT get the kind with lavender or rose petals in it!). It's very nice and I never had any problems with it - but it is expensive.
The best way to go, really, is either fleece liners or kiln dried pine shavings, although aspen shavings are okay too.