Sawdust is often free or cheap, but you must be really careful with it, because it is rarely "pure" -- it's mixed wood so easily could have cedar and oak in it. Also, sawdust is very moist and not as effective in keeping the stall dry. Wood shavings are great -- get pine or poplar. Sometimes you can get them free or cheap when they are loose, but it takes a lot of pick up truck loads to get a little compared to when you buy the packed bales of shavings.
Straw works too and is fine for them to eat, but often more expensive.