I use pine pellets underneath, as straw or hay is NOT absorbent. Then I overbed with straw or hay when they are close. But I used to use straw alone and it worked fine, when bedded deep. But it sure is a pain to clean!!!
Shavings are a problem because as the baby is making it's way out, it comes out a little more with the push, and pulls back in a little between contractions. This can cause shavings to stick to foal and be sucked back into mare. Possible infection dangers. Also as soon as the foal is born, it is down and breathing and resting nose on bedding. You sure don't want it breathing shavings into it's airways.
So if you do use shavings, be there to spread hay as soon as the mare is in labor. So the baby lands on hay or straw. I used to use straw, but hay is softer and handy to grab fast.
Straw without pellets or shavings under it can get very slippery from the "water" breaking. It just doesn't soak it up very well.