I have used pine shavings, alfalfa hay, rabbit feed (alfalfa pellets). I think the rats enjoyed the hay the most. They made nests and tunnels. I like the alfalfa pellets best. I found a product called alfalfa oats (horse feed) that is a 3/8" pellet and is about 40% cheaper than rabbit feed. I may try that next. The last bag of rabbit feed I bought crumbled really quickly. I have not had this problem before, so I may go back to the other source.
I posted below on smell (4/25/03), but basicly, keep it dry (no leaky water bottles), air it out, and don't over crowd.