Okay, but PaintsPwn is talking about a foaling stall and foaling out a mare, right? Not just general preferences for bedding.
So shavings are a no-no, because they get stuck to the umbilicus, the foal's nose, mouth and eyes, the mare, everything - yuck! That's why straw is considered standard for foaling stalls -- it doesn't stick and get into everything.
So, Paints - find 10 - 20 bales of straw NOW and put them aside for your mare. Don't bed her stall with straw until close to her due date, when she's waxed up, dripping milk and almost ready to go. Keep her and the baby on straw until your straw runs out, or until the baby is a week or so old.
If there's a deep spot in the stall where urine tends to collect, or if your mare prefers one spot, then putting shavings down in that spot and straw over it is a great idea.
There's a technique to mucking on straw - I used to keep a whole barn on it and loved it - much faster to muck than shavings, but the most important thing is to keep the foaling stall scrupulously clean. Leave a muck tub and fork outside the stall and pick the stall everytime you walk by.