I feed prairie hay - mostly native grasses (native to Oklahoma, anyway) with a little bermuda mixed in. This makes for a pretty fair hay - much better than what I fed last winter, anyway. This winter my horses didn't lose any weight, and my skinny ones gained weight. However, to insure that they got enough protein, we supplement with alfalfa pellets. We tried the cubes, thinking it would give them more chewing satisfaction (we did soak them for about 1/2 hour first) but the horses didn't like them nearly as well as the pellets, so we went back to the pellets.
TSC also has a chopped hay you can buy - it's in a little plastic bag that looks like a fairly small hay bale. You can measure it with a scoop. Friend used it when her horse developed an abcessed tooth - it got pulled, but the horse's mouth was really tender for a couple of weeks. She had to feed the chopped hay and soaked alfalfa pellets mixed together. The hay is sprayed with molasses, so I don't think I'd want to give it to my horses on a regular basis.
We can get hay around here, but it's pretty pricey. We picked up 5 round bales of prairie hay for $25 each, but that was a special price, and it has more johnson grass in it than I like. Fortunately, the horses seem to be skipping the johnson grass...for now. Pasture isn't coming on like it should (though we have chances of rain every night for the next several nights - may have to resort to the crazy lady rain dance!) Pasture not coming on also means that the hay in our own fields isn't coming on. Scary thought! If hay is high now, what will it be like this coming winter if this dang drought doesn't break?