I would think that if you bought online, (which I didn't know people did, at least, not for bedding) I wouldn't think that you would save much considering shipping costs. I've had experience with three types of bedding, straw, shavings and wood pellets. Straw is the only cheaper alternative I know of, but I hate using it. It's a pain to muck and takes way to much room at the muck pile. Ideally, in most cases, the more you spend on bedding, the more you should get out of it. But I've never used the expensive corn cob or whatnot beddings before. (too chicken to try them cuz -wow- are they expensive)
I use the shavings, but I have a system to how I use them. Not sure how big my stall is in measurements, but my haflinger has lots of room to walk around, so when I empty a brick of bedding in his stall I empty the whole thing in the far corner of his stall and stack it up as high as I can so that it's out of the way. I then distribute a thin layer with my muck rake in whatever areas he needs more bedding. Whatever is left I use up over the next week/week & 1/2 until I need more. I used to spread the whole thing out, but the bedding was so thick that he'd kick all his muck around into the good bedding and it was a nasty mish-mosh by morning. I could either dump half a stall of semi wet bedding (and my horse can be a stall soaker)or leave it to get dirter and deal with the flys/smell/dirty look. I'd go through two bricks a week for one horse. Once I started leaving the stall bedding more shallow, his manure piles stayed in piles (instead of turning into patties under the fresh bedding in the corners of the stall. How does that even get there?!) and the urine collected in noticable piles that I could completely muck it out without taking out the good bedding. When I was done I'd replace what I took with some fresh bedding and my stall always lookes/smells clean. If I want to sit against the wall and watch my horse nibble I don't have to wonder about what I'm sitting in.
The wood pellets are more expensive. I've seen it used a couple of ways. I've seen one person use it dry and let her horses crunch them down and spread them out, and I've seen one person use them after dumping half a bucket of water into the bagg and letting them fluff up. I'm not big on this bedding for a good reason. It's -great- with the manure because it sifts right through. But when the horses urinates, the moisture spreads through the entire area (which in turn fluffs up the bedding) and makes it impossible to disern between what's clean and dirty. I don't like leaving any traces of urine in my stalls because urine, when left, turns to amonia. Which attributes to that "stall smell". And since our horses stand in their stalls for considerable amounts of time and quite often with their heads to the ground, this is a major cause of respiratory problems in horses, especially show horses or horses that are trailered alot. So all in all, a dry stall is a good stall, and that is why I like shavings. I'm sure there are better beddings out there, but for the cost, I find shavings to be cheap, reliably available at stores, and I think it does the job well.
Actually, if I had the time and inspiration to make my own bedding, I'd mix finely chopped straw and wood shavings together. ^^