So, since I spend lots of time mucking, the sawdust is the easiest to clean. I sift it with a fine-tine muck fork and it gets all but the tiniest "nuggets".
The mill I use doesn't have very dusty sawdust but I still water it a little each day before the horses come in.
Shavings are a PITA with my stall walkers. I LOVE pellet bedding, but it's too pricey for me at this point in time.