Pelleted bedding makes a great environment for mites, mold and other fun pesky creatures. I will never, ever subject my horse to that crap again.
I prefer shavings for stalled horses because they smell nice, are readily available and easy to clean. If you build a shed, you can buy them in bulk which is way cheaper than bagged. My barn has 3 berms, like 3 sides of a rectangle, and the shavings get dumped into there, it is fairly windy and they don't blow away. I do also like straw, if it is bedded deeply enough. Straw is my preferred bedding for mares and foals, and in outdoor run-ins.